Linkages between Shanghai and Hong Kong stock indices

  1. Shenqiu Zhang
  2. Iván Payá Sastre
  3. David A. Peel
Zeitschrift:
Applied financial economics

ISSN: 0960-3107

Datum der Publikation: 2009

Ausgabe: 19

Nummer: 22-24

Seiten: 1847-1857

Art: Artikel

DOI: 10.1080/09603100903085066 DIALNET GOOGLE SCHOLAR

Andere Publikationen in: Applied financial economics

Zusammenfassung

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.

Fuente de los datos: Dialnet