Research on the correlation between the SHIBOR and stock market returns based on the DCC-GARCH model

摘要

Interbank Offered market (also called “Interbank Lending market”) and the stock market are important parts of China's financial market. This paper studies the relationship of Shanghai interbank offered rate (Interbank Offered Rate Shanghai, abbreviate “SHIBOR”) and stock market returns, which is benefit to grasp the change rules of them. It finds that the dynamic relationship between SHIBOR and stock market returns is timeliness and plate effect. Studying of the relationship between the rate of changes of SHIBOR and the returns of stock market can provide scientific basis for the steady development of the financial market.