Linkages between Shanghai and Hong Kong stock indices
نویسندگان
چکیده
This paper examines the dynamics of the linkages between Shanghai and Hong Kong stock indices. While the volatility linkage is analysed by a multivariate GARCH framework, the dependence of returns is examined by a copula approach. Eight different copula functions are applied in this study including two time varying ones which capture the time varying process of the linkage. The result shows significant tail dependence of the returns in the two market. JEL classification: G10; G15; F35; Department of Economics, Lancaster University Management School, Lancaster, LA1 4YX, UK. Corresponding author: Ivan Paya. Email address: [email protected] Tel: +44(0)1524593504 Fax: +44(0)1524594244 Acknowledgements: Ivan Paya is grateful for financial support from the Spanish Ministerio de Educacion y Ciencia Research Project ECO2008-05721/ECON
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∗Department of Economics, Boston University, 270 Bay State Road, Boston, MA 02215, USA, CEMA, Central University of Finance and Economics, and AFR, Zhejiang University, China. Email: [email protected]. Tel: (617) 353 6675. †Department of Economics, Hong Kong University of Science and Technology, Clear Water Bay, Hong Kong. Email: [email protected]. Tel: (+852) 2358 7612. ‡Antai College of Economics and ...
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