Abstract
The empirical results show that the dynamic conditional correlation (DCC) and the bivariate asymmetric-IGARCH(1, 2) model is appropriate in evaluating the relationship of the Hong Kong and the Singapore's stock markets. The empirical result also indicates that the Hong Kong and the Singapore's stock markets is a positive relation. The average estimation value of correlation coefficient equals to 0.6619, which implies that the two stock markets is synchronized influence. Besides, the empirical result also shows that the Hong Kong and the Singapore's stock markets have an asymmetrical effect, and the variation risks of the Hong Kong's stock market return also receives the influence of the good and bad news in Hong Kong. And the variation risks of the Hong Kong's and the Singapore's stock market return also receives the influence of the Canada stock market.
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