IDEAS home Printed from https://ideas.repec.org/a/mes/emfitr/v56y2020i11p2608-2624.html
   My bibliography  Save this article

Dependence Structure between China’s Stock Market and Other Major Stock Markets before and after the 2008 Financial Crisis

Author

Listed:
  • Hao Ji
  • Hao Wang
  • Jia Xu
  • Brunero Liseo

Abstract

To investigate changes in the dependence structure between China’s stock market and other important international stock markets as a result of the 2008 global financial crisis, the ARMA-GARCH skewed-t Vine Copula method is used and an empirical study is undertaken using daily closing prices for seven key international stock markets from 4 January 2002 to 29 December 2017. The results indicate that the CAC and the HSI are the key indices connecting all the other indices in Europe and Asia, respectively. In addition, the financial crisis resulted in significant changes to the dependence structure, and the FTSE has gradually become more important in connecting European stock markets with Asian markets. Moreover, Tree 2 of the Vine Copula shows that the entire high-dimensional dependence structure has been modified by the crisis, and the indices are now more correlated than they were before the crisis.

Suggested Citation

  • Hao Ji & Hao Wang & Jia Xu & Brunero Liseo, 2020. "Dependence Structure between China’s Stock Market and Other Major Stock Markets before and after the 2008 Financial Crisis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(11), pages 2608-2624, September.
    • Handle: RePEc:mes:emfitr:v:56:y:2020:i:11:p:2608-2624
    DOI: 10.1080/1540496X.2019.1615434
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1540496X.2019.1615434
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1540496X.2019.1615434?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ji, Hao & Wang, Hao & Zhong, Rui & Li, Min, 2020. "China's liberalizing stock market, crude oil, and safe-haven assets: A linkage study based on a novel multivariate wavelet-vine copula approach," Economic Modelling, Elsevier, vol. 93(C), pages 187-204.
    2. Hu, Genhua & Fan, Gang-Zhi, 2022. "Empirical evidence of risk contagion across regional housing markets in China," Economic Modelling, Elsevier, vol. 115(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mes:emfitr:v:56:y:2020:i:11:p:2608-2624. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/MREE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.