An Empirical Analysis of Co-movement of the A Shares of Shanghai-Shenzhen Market and the International Stock Markets-Based on DCC-MGARCH Model

It is an unavoidable tendency that the co-dependency of different financial markets is strengthening under the global economy. Chinese market is increasing its openness while the international financial market is fluctuating, hence it is of necessity and importance to study the co-movement of domestic stock market and major international markets, not just out of the academic need of completing domestic and international share markets co-movement theory but also for the practical need of risk prevention and investors' investment analysis. This paper explores the co-relationship between international and domestic stock markets by designing an empirical model and researching it, based on stock markets' co-movement theories. 2,344 valid data have been collected from all the data recorded from the first trading day in 2006 to the last one in 2015. The paper uses DCC-MGARCH model to research the co-relationship between Chinese stock market and major international markets by studying Shanghai-Shenzhen 300 Index and S&P 500 Index.