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Time-varying conditional dependence in Chinese stock markets

Author

Listed:
  • Thierry Ane
  • Loredana Ureche-Rangau
  • Chiraz Labidi-Makni

Abstract

This article explores the dynamics of the dependence between 'A' and 'B' share indices on the Shanghai and Shenzhen securities exchanges. While the marginal behaviour of each stock index is modelled by an asymmetric Student-t distribution, the nature of the dependence is captured through a copula representation. Our results confirm the already documented time-varying pattern of the dependence structure. Moreover, we show that regional and world shocks as represented by the Hang Seng Asia and the S&P 500 indices affect the marginal distributions of Chinese 'A' and 'B' stock indices, but do not influence the dynamics of their dependence.

Suggested Citation

  • Thierry Ane & Loredana Ureche-Rangau & Chiraz Labidi-Makni, 2008. "Time-varying conditional dependence in Chinese stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 18(11), pages 895-916.
  • Handle: RePEc:taf:apfiec:v:18:y:2008:i:11:p:895-916
    DOI: 10.1080/09603100701259772
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    Cited by:

    1. Казакова К.А. & Князев А.Г. & Лепёхин О.А., 2015. "Оптимальный размер банковского резерва: прогноз просроченной кредитной задолженности с использованием копулярных моделей. Optimum volume of bank reserve: forecasting of overdue credit indebtedness usi," Мир экономики и управления // Вестник НГУ. Cерия: Cоциально-экономические науки, Socionet;Новосибирский государственный университет, vol. 15(4), pages 59-76.
    2. repec:lan:wpaper:2594 is not listed on IDEAS
    3. repec:lan:wpaper:2371 is not listed on IDEAS
    4. Benson, Sydney & Burroughs, Regina & Ladyzhets, Vladimir & Mohr, Jessica & Shemyakin, Arkady & Walczak, David & Zhang, Huan, 2020. "Copula models of economic capital for life insurance companies," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 58, pages 32-54.
    5. repec:lan:wpaper:2452 is not listed on IDEAS
    6. Knyazev, Alexander & Lepekhin, Oleg & Shemyakin, Arkady, 2016. "Joint distribution of stock indices: Methodological aspects of construction and selection of copula models," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 42, pages 30-53.
    7. Shenqiu Zhang & Ivan Paya & David Peel, 2009. "Linkages between Shanghai and Hong Kong stock indices," Applied Financial Economics, Taylor & Francis Journals, vol. 19(23), pages 1847-1857.

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