중국 주식시장에서 변동성 전이효과와 위험 최소화 포트폴리오

This study analyzed the volatility spillover effects and the risk minimizing portfolios in Chinese stock market using the weekly rate of return of Shanghai composite index (SCI), Shenzhen composite index (SZI) and Hang Seng index (HSI) from January 7, 2000 to August 29, 2014. First, the ARMA-GARCH model was estimated by considering the sudden changes in volatility by using the ICSS algorithm. Analysis of the estimation result indicated that the persistence and volatility of Chinese stock market were overestimated when a sudden change in volatility has ignored. Next, the analysis result of estimating the third variance VAR-GARCH-BEKK indicated that the volatility transition effect is existed between three Chinese stock market. It meant there is a strong linkage with the Chinese stock markets (Shanghai, Shenzhen and Hong Kong) and is becoming increasingly integrated. Finally, using the conditional variance and covariance obtained from the estimation results to visualize the portfolio strategies to minimize the risk of stock market in China. The optimal portfolio in order to minimize risk from the perspective of China's stock market investors is to consist of the Shanghai Composite Index and the Hang Seng Index (the proportion of SCI 44.43%, the proportion of HSI 55.57%), Shenzhen Composite Index would be appropriate to exclude because of high risk.