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Linkages between Shanghai and Hong Kong stock indices

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Author Info
David Peel
Ivan Paya
Shenqiu Zhang

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Abstract

This paper examines the dynamics of the linkages between Shang- hai and Hong Kong stock indices. While the volatility linkage is anal- ysed by a multivariate GARCH framework, the linkage of returns is examined using a copula approach. Eight different copula functions are applied in this study including two time-varying copulas which capture the time varying process of the linkage. The results show sig- nificant tail dependence of the returns in the two markets.

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Paper provided by Lancaster University Management School, Economics Department in its series Working Papers with number 005927.

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Date of creation: 2009
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Handle: RePEc:lan:wpaper:005927

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  1. Kasch-Haroutounian, Maria & Price, Simon, 2001. "Volatility in the Transition Markets of Central Europe," Applied Financial Economics, Taylor and Francis Journals, vol. 11(1), pages 93-105, February. [Downloadable!] (restricted)
  2. Andrew Worthington & Helen Higgs, 2004. "Transmission of equity returns and volatility in Asian developed and emerging markets: a multivariate GARCH analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(1), pages 71-80. [Downloadable!]
  3. Hansen, Bruce E, 1994. "Autoregressive Conditional Density Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(3), pages 705-30, August. [Downloadable!] (restricted)
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  4. Rodriguez, Juan Carlos, 2007. "Measuring financial contagion: A Copula approach," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 401-423, June. [Downloadable!] (restricted)
  5. Andrew J. Patton, 2006. "Estimation of multivariate models for time series of possibly different lengths," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(2), pages 147-173. [Downloadable!]
  6. Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 339-50, July.
  7. Hong Li, 2007. "International linkages of the Chinese stock exchanges: a multivariate GARCH analysis," Applied Financial Economics, Taylor and Francis Journals, vol. 17(4), pages 285-297. [Downloadable!] (restricted)
  8. Andrew J. Patton, 2006. "Modelling Asymmetric Exchange Rate Dependence," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 47(2), pages 527-556, 05. [Downloadable!] (restricted)
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  9. Heimonen, Kari, 2002. "Stock Market Integration: Evidence on Price Integration and Return Convergence," Applied Financial Economics, Taylor and Francis Journals, vol. 12(6), pages 415-29, June. [Downloadable!] (restricted)
  10. Andrew J. Patton, 2008. "Copula-Based Models for Financial Time Series," OFRC Working Papers Series 2008fe21, Oxford Financial Research Centre. [Downloadable!]
  11. Busetti, F. & Harvey, A., 2008. "When is a copula constant? A test for changing relationships," Cambridge Working Papers in Economics 0841, Faculty of Economics, University of Cambridge. [Downloadable!]
  12. Thierry Ane & Loredana Ureche-Rangau & Chiraz Labidi-Makni, 2008. "Time-varying conditional dependence in Chinese stock markets," Applied Financial Economics, Taylor and Francis Journals, vol. 18(11), pages 895-916. [Downloadable!] (restricted)
  13. Bartram, Sohnke M. & Taylor, Stephen J. & Wang, Yaw-Huei, 2007. "The Euro and European financial market dependence," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1461-1481, May. [Downloadable!] (restricted)
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This page was last updated on 2009-11-23.

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