Linkages between Shanghai and Hong Kong stock indices

• Autores: Shenqiu Zhang, Iván Payá Sastre, David A. Peel
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 19, Nº. 22-24, 2009, págs. 1847-1857
• Idioma: inglés
• DOI: 10.1080/09603100903085066
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• Resumen

  • 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.