Paya, I and Zhang, S and Peel, D (2009) Linkages between Shanghai and Hong Kong stock indices. Applied Financial Economics, 19 (23). pp. 1847-1857. ISSN 0960-3107
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Official URL: http://dx.doi.org/10.1080/09603100903085066
Abstract
This article examines the dynamics of the linkages between Shanghai and Hong Kong stock indices. While the volatility linkage is analysed by a Multivariate Generalized Autoregressive Conditional Heteroscedasticity (MVGARCH) 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 dynamics of the linkage. The result shows significant tail dependence of the returns in the two markets.
| Item Type: | Article |
|---|---|
| Journal or Publication Title: | Applied Financial Economics |
| Subjects: | UNSPECIFIED |
| Departments: | Lancaster University Management School > Economics |
| ID Code: | 45454 |
| Deposited By: | ep_importer_pure |
| Deposited On: | 11 Jul 2011 19:32 |
| Refereed?: | Yes |
| Published?: | Published |
| Last Modified: | 15 Apr 2013 11:48 |
| Identification Number: | |
| URI: | http://eprints.lancs.ac.uk/id/eprint/45454 |
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