TITLE:
An Empirical Analysis of the Correlation of Agricultural Sectors in the Chinese Stock Market Based on the DCC-GARCH Model
AUTHORS:
Simin Wu, Zahayu Md. Yusof, Masnita Misiran
KEYWORDS:
DCC-GARCH Model, Chinese Stock Market, Stock Returns, Shanghai Composite Index, Agriculture
JOURNAL NAME:
Journal of Mathematical Finance,
Vol.14 No.1,
December
19,
2023
ABSTRACT:
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.