An Empirical Analysis of the Correlation of Agricultural Sectors in the Chinese Stock Market Based on the DCC-GARCH Model

• Main Authors: Wu, Simin, Md Yusof, Zahayu, Misiran, Masnita
• Format: Article
• Language: English
• Published: Science Research Publishing 2024
• Subjects: QA Mathematics
• Online Access: https://repo.uum.edu.my/id/eprint/30862/1/JMF%2014%2001%202024%2001-17.pdf; https://doi.org/10.4236/jmf.2024.141001; https://repo.uum.edu.my/id/eprint/30862/; https://www.scirp.org/journal/paperinformation?paperid=129844; https://doi.org/10.4236/jmf.2024.141001

The paper selects the daily trading data of three stocks in the agricultural sector of the Chinese stock market from 1st September 2015 to 31st August 2021. It uses the DCC-GARCH model to study the correlation between these stocks to examine the volatility and conductivity of their risks. The results show that the correlation between the Shanghai Composite Index and stocks of agriculture of China exhibits time-varying characteristics and dynamic. The fluctuations in correlation are large. This study fills the blank of comparative study on risk volatility and correlation between different stocks in the same stock market by using DCC-GARCH model