Linkages between Shanghai and Hong Kong stock indices
- Shenqiu Zhang
- Iván Payá Sastre
- David A. Peel
ISSN: 0960-3107
Any de publicació: 2009
Volum: 19
Número: 22-24
Pàgines: 1847-1857
Tipus: Article
Altres publicacions en: Applied financial economics
Resum
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.