Linkages between shanghai and hong kong stock indices.

Content Provider	CiteSeerX
Author	Zhang, Shenqiu Paya, Ivan Peel, David
Abstract	This paper examines the dynamics of the linkages between Shanghai and Hong Kong stock indices. While the volatility linkage is analysed by a multivariate GARCH 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 time varying process of the linkage. The result shows significant tail dependence of the returns in the two market.
File Format	PDF
Access Restriction	Open
Subject Keyword	Hong Kong Stock Index Volatility Linkage Significant Tail Dependence Copula Approach Multivariate Garch Framework Different Copula Function
Content Type	Text
Resource Type	Article