An Impact of the Switzerland and the aCanada Stock Return Volatility in Mainland China Stock Market: Empirical Study of Shanghai and Shenzhen Markets

The empirical results show that the dynamic conditional correlation (DCC) and the bivariate AIGARCH (1, 1) model is appropriate in evaluating the relationship of the Shanghai's and the Shenzhen's stock markets. The empirical result also indicates that the Shanghai's and the Shenzhen's stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.9317, which implies that the two stock markets is synchronized influence. Besides, the empirical result also shows that the Shanghai's and the Shenzhen's stock markets have an asymmetrical effect. The return volatility of the Shanghai and the Shenzhen stock markets receives the influence of the positive and negative values of the Switzerland and the Canada stock return volatilities.