Dynamic correlation of bank stock return can be used to analyze systemic risk. We use DCC (Dynamic conditional correlation) multivariate GARCH model to analyze the time varying correlation of all listed banks between 1999-2010. We find it can effectively identify systemic risk in the crisis year of 2000, 2002 and 2008. Furthermore, dynamic correlation has been at high level since crisis, which means investors still worry bank assets quality and its potential risk.%本文应用DCC多元GARCH模型分析上市银行股票价格的动态相关性,并以此作为银行整体风险的度量监测指标,在模型的构建中考虑了系统风险的时变特征.结果表明,相关系数的大小和动态变化能够对银行系统性风险起到一定的监测和预警作用.本次金融危机过后,银行间动态相关水平一直处于高位,表明投资者对未来银行资产质量和其潜在风险仍然存在担忧.
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