상해와 심천의 주식시장간 변동성에 대한 연구

A Study on the Volatilities of Stock Markets between Shanghai and Shenzhen

This study is to investigate the Volatility between Shanghai and Shenzhen stock markets. The results of this study can be summarized as follows: In the pre-crisis, the cointegrating relationship between the four variables for each stock market has partially adjusted to recover in the short term. In the mean equation, almost all own and cross markets did not exist in the spillover effects. And in the variance equation, ARCH has a strong influence on the domestic market. In GARCH, most of the cross-market and the own market showed the strong volatility spillover effects and the asymmetric effects of all domestic markets did not exist, but these effects between different markets existed. In the mean equation after the crisis, the spillover effects of domestic market existed. And in the variance equation, ARCH showed the strong spillover effects across most markets and GARCH showed the strong spillover effects among most of the other markets as well as the own Shanghai-B and Shenzhen-A. The domestic Shanghai-B, Shenzhen-A and Shenzhen-B market and other markets showed the strong asymmetric effects. Therefore, the causal and transmission relationship was confirmed by identifying the one-way or two-way asymmetric volatility spillover effects between the Shanghai-A and other markets in this study. And there were the spillover effects between Shanghai-A & B and Shenzhen-A & B market over timevarying periods and the linkages between the stock market in China was clearly present.