中文摘要：

基于沪深A、B股1994.1.3到2012.7.31的四组日回报率数据,本文研究了中国股票市场间条件波动率和相关系数的动态性与非对称性,分别建立了EGARCH模型和非对称形式的动态条件相关模型（DCC）进行分析。研究表明,我国股票市场的条件波动率在利空消息冲击时普遍表现出很强的非对称性,其中深B股市场的波动率非对称性表现为市场受利好信息冲击时的反应更强而不同于其他三个股票市场;尽管股票市场间条件相关系数存在着不同的非对称表现形式,但是无论是A股市场还是B股市场,其条件相关系数都表现出显著的动态非对称性。

英文摘要：

We investigate dynamics and asymmetries in conditional variance and correlations in the Chinese stock markets and build EGARCH model and an asymmetric version of the Dynamic Conditional Correlation （DCC） model respectively based on four groups returns of A and B shares in Shanghai and Shenzhen stock exchanges from January 3, 1994 until July 31, 2012. We find that Chinese equity index return series universally show strong asymmetries to negative impacts in conditional volatility, yet it is different from other three markets that the B shares in Shenzhen stock market exhibit more response to positive impacts; However, both A and B shares significantly exist dynamics and asymmetry in conditional correlation, although in systematically different manners.