Linkages between Shanghai and Hong Kong stock indices

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

ISSN: 0960-3107

Year of publication: 2009

Volume: 19

Issue: 22-24

Pages: 1847-1857

Type: Article

DOI: 10.1080/09603100903085066 DIALNET GOOGLE SCHOLAR

More publications in: Applied financial economics

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.

Data source: Dialnet