Linkages between Shanghai and Hong Kong stock indices
AbstractThis 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.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 19 (2009)
Issue (Month): 23 ()
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Other versions of this item:
- S Zhang & Ivan Paya & D Peel, 2009. "Linkages between Shanghai and Hong Kong stock indices," Working Papers 599248, Lancaster University Management School, Economics Department.
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