The Research Of The Relationship Between Stock Price And The Correlation Of A Index&Industry Index

For effective regulation, maxium stockholder’s interest, analyze of return and risk,stock price and volatility of return are empirical. For helping investor judging thefluctuaions of the equity market, full text use twelve industry index as samples, theyare: Shanghai A index（SH1A0002）, Shanghai financial index（SH00038），Shanghaienergy index (SH000032)， Shanghai industry index (SH000034) Shanghaiconsumption index (SH000036), Shanghai medical index (000037)，Shanghai publicutility index (SH000041),Shanghai huge market value index (SH000043), Shanghaimiddle and small market value index (SH000046)， Shanghai information index(SH000039), Shanghai materials index (SH000033). According to these index’return,using DCC-MVGARCH model, I got the correlation of each industry index andShanghai A index.Based on these correlations, I searched for the relationship of the price of A indexand those correlations. The innovations of this text is for previous researches, most ofthem accounts for the hedge ratios or for the VAR(value at risk) but ignore thecorrelation itself and only use3or4index lack of reliability, but this text focus on thecorrelations it-self and use11industries index to enhance the reliability. The resultsare:(1)When the correlation of each industry rise up, A index will also rise, as viceversa.(2) If the level of rising(falling) is not as large as predicted, it means A index isfalling(rising) very seriously.