An Empirical Analysis of the Correlation of Agricultural Sectors in the Chinese Stock Market Based on the DCC-GARCH Model
The paper selects the daily trading data of three stocks in the agricultural sector of the Chinese stock market from 1st September 2015 to 31st August 2021. It uses the DCC-GARCH model to study the correlation between these stocks to examine the volatility and conductivity of their risks. The result...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Science Research Publishing
2024
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| Online Access: | https://repo.uum.edu.my/id/eprint/30889/1/JMF%2014%2001%202024%20%2001-17.pdf https://doi.org/10.4236/jmf.2024.141001 |
| _version_ | 1825806263048470528 |
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| author | Wu, Simin Md Yusof, Zahayu Misiran, Masnita |
| author_facet | Wu, Simin Md Yusof, Zahayu Misiran, Masnita |
| author_sort | Wu, Simin |
| collection | UUM |
| description | The paper selects the daily trading data of three stocks in the agricultural sector of the Chinese stock market from 1st September 2015 to 31st August 2021. It uses the DCC-GARCH model to study the correlation between these stocks to examine the volatility and conductivity of their risks. The results show that the correlation between the Shanghai Composite Index and stocks of agriculture of China exhibits time-varying characteristics and dynamic. The fluctuations in correlation are large. This study fills the blank of comparative study on risk volatility and correlation between different stocks in the same stock market by using DCC-GARCH model |
| first_indexed | 2024-07-04T06:46:44Z |
| format | Article |
| id | uum-30889 |
| institution | Universiti Utara Malaysia |
| language | English |
| last_indexed | 2024-07-04T06:46:44Z |
| publishDate | 2024 |
| publisher | Science Research Publishing |
| record_format | eprints |
| spelling | uum-308892024-06-23T08:26:22Z https://repo.uum.edu.my/id/eprint/30889/ An Empirical Analysis of the Correlation of Agricultural Sectors in the Chinese Stock Market Based on the DCC-GARCH Model Wu, Simin Md Yusof, Zahayu Misiran, Masnita QA Mathematics The paper selects the daily trading data of three stocks in the agricultural sector of the Chinese stock market from 1st September 2015 to 31st August 2021. It uses the DCC-GARCH model to study the correlation between these stocks to examine the volatility and conductivity of their risks. The results show that the correlation between the Shanghai Composite Index and stocks of agriculture of China exhibits time-varying characteristics and dynamic. The fluctuations in correlation are large. This study fills the blank of comparative study on risk volatility and correlation between different stocks in the same stock market by using DCC-GARCH model Science Research Publishing 2024 Article PeerReviewed application/pdf en cc4_by https://repo.uum.edu.my/id/eprint/30889/1/JMF%2014%2001%202024%20%2001-17.pdf Wu, Simin and Md Yusof, Zahayu and Misiran, Masnita (2024) An Empirical Analysis of the Correlation of Agricultural Sectors in the Chinese Stock Market Based on the DCC-GARCH Model. Journal of Mathematical Finance, 14 (1). pp. 1-17. ISSN 2162-2442 https://www.scirp.org/journal/paperinformation?paperid=129844 https://doi.org/10.4236/jmf.2024.141001 https://doi.org/10.4236/jmf.2024.141001 |
| spellingShingle | QA Mathematics Wu, Simin Md Yusof, Zahayu Misiran, Masnita An Empirical Analysis of the Correlation of Agricultural Sectors in the Chinese Stock Market Based on the DCC-GARCH Model |
| title | An Empirical Analysis of the Correlation of Agricultural Sectors in the Chinese Stock Market Based on the DCC-GARCH Model |
| title_full | An Empirical Analysis of the Correlation of Agricultural Sectors in the Chinese Stock Market Based on the DCC-GARCH Model |
| title_fullStr | An Empirical Analysis of the Correlation of Agricultural Sectors in the Chinese Stock Market Based on the DCC-GARCH Model |
| title_full_unstemmed | An Empirical Analysis of the Correlation of Agricultural Sectors in the Chinese Stock Market Based on the DCC-GARCH Model |
| title_short | An Empirical Analysis of the Correlation of Agricultural Sectors in the Chinese Stock Market Based on the DCC-GARCH Model |
| title_sort | empirical analysis of the correlation of agricultural sectors in the chinese stock market based on the dcc garch model |
| topic | QA Mathematics |
| url | https://repo.uum.edu.my/id/eprint/30889/1/JMF%2014%2001%202024%20%2001-17.pdf https://doi.org/10.4236/jmf.2024.141001 |
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