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Linkages between Shanghai and Hong Kong stock indices

Zhang, S and Paya, I and Peel, D (2009) Linkages between Shanghai and Hong Kong stock indices. Working Paper. The Department of Economics, Lancaster University.

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    Abstract

    This paper examines the dynamics of the linkages between Shang- hai and Hong Kong stock indices. While the volatility linkage is anal- ysed by a multivariate GARCH framework, the linkage of returns is examined using a copula approach. Eight different copula functions are applied in this study including two time-varying copulas which capture the time varying process of the linkage. The results show sig- nificant tail dependence of the returns in the two markets.

    Item Type: Monograph (Working Paper)
    Subjects: UNSPECIFIED
    Departments: Lancaster University Management School > Economics
    ID Code: 48955
    Deposited By: ep_importer_pure
    Deposited On: 11 Jul 2011 22:24
    Refereed?: No
    Published?: Published
    Last Modified: 26 Mar 2013 15:33
    Identification Number:
    URI: http://eprints.lancs.ac.uk/id/eprint/48955

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