Study On Stock Market Volatility And Correlation In Emerging Industries

As China’s economic strength has increased and the stock market has prospered,research on the stock market plays a vital role in making more reasonable investments and avoiding certain risks.At present,the research on the stock market mostly focuses on the Shanghai and Shenzhen main boards,various small and medium-sized boards and the traditional three industries,and relatively few studies on emerging industries with better development.This paper will study the volatility and linkage of the seven emerging industries in the 12 th Five-Year Plan,and provide reference for investors’ investment and government formulation strategies.This paper takes the seven industries of energy conservation and environmental protection,new generation information technology,biology,high-end equipment manufacturing,new energy,new materials and new energy vehicles as the research object,and selects the daily closing from September 25,2014 to December 7,2018.The price data is analyzed.Firstly,the GARCH and SV models are used to empirically analyze the volatility and give conclusions.Then,the DCC-GARCH model is used to calculate the correlation coefficient,and the dynamic correlation coefficient graph is drawn for more intuitive analysis.Dynamic correlation between.The empirical results show that:(1)From the perspective of fluctuation dependence,ARCH of high-end equipment and materials is the largest,while ARCH of biomedicine and information technology is the smallest.It shows that the early fluctuation of high-end equipment and materials has a greater impact on the later fluctuation,while the early fluctuation of biomedicine and information technology has a smaller impact on the later fluctuation.However,the GARCH items of new energy vehicles,information technology and biomedicine are relatively large,indicating that it will last longer once it is affected by the earlier stage.The GARCH terms of high-end equipment and materials are relatively small,that is,their fluctuation persistence is relatively short.In addition,SV model is used to fit the data and make a comprehensive analysis.We also find that the fluctuation of high-end equipment and materials in the early stage has the greatest impact on the later fluctuation,while the fluctuation of biomedicine and information technology is the smallest.These conclusions show that the current fluctuations of biomedicine and information technology have little impact on the short-term.The development of the industry should be more mature and the investors have more trust in it.On the contrary,the changes of high-end equipment and materials will have a greater impact on the short-term.Short-term speculation is more prominent.(2)The energy conservation and environmental protection industry has the greatest correlation with other industries,especially energy conservation and environmental protection,new energy vehicles and new energy sources.Materials are the least relevant to other industries,but they all have strong correlations.As a strategic emerging industry,investors should pay more attention to changes in stocks in other industries and the issuance of national policies.