An Empirical Analysis on the Dynamic Conditional Correlations between the Both Return Indices of Shanghai Stock Exchange and Shenzhen Stock Exchange

Abstract

基于上海证券交易市场上证综指和深圳证券交易市场深圳成分指数，本文计算了两市的收益指数。实证分析发现，在上证综指收益指数与深证成指收益指数之间，存在长期和短期协整关系、长期和短期双向Granger因果关系、高度动态条件相关关系、高度Clayton下尾依赖关系、以及高度Gumbel上尾依赖关系。 Based on the Shanghai Composite Index of Shanghai Stock Exchange and Shenzhen Component Index of Shenzhen Stock Exchange, this paper has calculated the compositional return indices of the both stock markets. The empirical analysis has found that between the both compositional return indices, there are long run and short run cointegration relations, long run and short run bidirectional Granger causality relations, higher dynamic conditional correlation (DCC), higher Clayton lower tail dependence, and higher Gumbel upper tail dependence.