Linkages between Shanghai and Hong Kong stock indices
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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