The Empirical Analysis on Relationship of the Volatility Characteristics of China Stock and International Stock Market

摘要

This article described the characteristics and differences of the Shanghai Stock Composite Price Index, Shenzhen Stock Component Price Index, Hongkong Stock Price Index and Dow-Jones Average Stock Price Index. Then we used the conditional variance serials of Shanghai Stock Composite Price Index, Shenzhen Stock Component Price Index, Hongkong Stock Price Index and Dow-Jones Average Stock Price Index to stimulate with VAR model. Through this model,we compared the effect of fluctuation overflow before and after the exchange rate reformation.