Linkages between Shanghai and Hong Kong stock indices

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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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.