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Linkages between Shanghai and Hong Kong stock indices

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  • Shenqiu Zhang
  • Ivan Paya
  • David Peel

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.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 19 (2009)
Issue (Month): 23 ()
Pages: 1847-1857

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Handle: RePEc:taf:apfiec:v:19:y:2009:i:23:p:1847-1857

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Cited by:
  1. Chow, Gregory C. & Liu, Changjiang & Niu, Linlin, 2011. "Co-movements of Shanghai and New York stock prices by time-varying regressions," Journal of Comparative Economics, Elsevier, vol. 39(4), pages 577-583.
  2. repec:wyi:journl:002146 is not listed on IDEAS

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