CAJ | 학술논문

在定义与计算异质波动的前提下，使用DCC-MVGARCH模型，对中国股票市场与国际股票市场之间的联动性进行研究。结果表明，首先，中国市场与周边地区市场的联动性最强、新兴市场次之、欧美发达市场最弱；其次，从动态走势上看，金融危机的爆发使得中国市场与周边市场、印度市场以及欧洲市场的联动性发生显著上升，而美国、俄罗斯与巴西市场与中国的联动性则没有显著变化；最后，这种不规则走势为国际投资提供了避险的可能性。
재정의여계산이질파동적전제하，사용DCC-MVGARCH모형，대중국고표시장여국제고표시장지간적련동성진행연구。결과표명，수선，중국시장여주변지구시장적련동성최강、신흥시장차지、구미발체시장최약；기차，종동태주세상간，금융위궤적폭발사득중국시장여주변시장、인도시장이급구주시장적련동성발생현저상승，이미국、아라사여파서시장여중국적련동성칙몰유현저변화；최후，저충불규칙주세위국제투자제공료피험적가능성。
This paper analyzes the comovement between Chinese and international stock market by using DCC-MVGARCH model on the premise of defining and calculating heterogeneous fluctuation .The result shows that Chinese market has the strongest comovement with surrounding areas , with emerging markets second , the weakest is with developed markets in Europe and America .Then, from the view of dynamic trends , the outbreak of financial crisis makes the comovement between Chinese market and neighboring markets , Indian market as well as European market rise significantly , but there is no significant change between Chinese market and Ameri-can market, Russian market and Brazilian market .Finally, this irregular change provides international invest-ment with the possibility of avoiding risks .