English, Article, Journal or magazine article edition: Linkages between Shanghai and Hong Kong stock indices David Peel; Ivan Paya; Shenqiu Zhang

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Bookmark: http://trove.nla.gov.au/version/59532
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Linkages between Shanghai and Hong Kong stock indices
Author
  • David Peel
  • Ivan Paya
  • Shenqiu Zhang
Physical Description
  • preprint
Notes
  • 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.
  • RePEc:lan:wpaper:005927
Language
  • English
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