Since 2014
Stock Market Integration in China: Evidence from the Asymmetric DCC Model and Copula Approach
Applied Economics and Finance
View Archive Info| Field | Value | |
| Title |
Stock Market Integration in China: Evidence from the Asymmetric DCC Model and Copula Approach
|
|
| Creator |
Cai, Xiao Jing
Tian, Shuairu Hamori, Shigeyuki |
|
| Description |
We investigate the dynamic dependence structure between the daily stock returns of the A and B shares of the Shanghai and Shenzhen stock markets in China, using time-varying conditional copula and asymmetric dynamic conditional correlation models. We find that the Shanghai market’s A and B shares are more integrated than those of the Shenzhen market. Further, the dynamic dependences between the shares for both markets are asymmetric and lower-tailed, and an increasing correlation with the opening up of the B shares market to Chinese citizens around 2001 is evident.
|
|
| Publisher |
Redfame Publishing
|
|
| Contributor |
—
|
|
| Date |
2016-11-24
|
|
| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
|
| Format |
application/pdf
|
|
| Identifier |
http://redfame.com/journal/index.php/aef/article/view/2010
10.11114/aef.v4i2.2010 |
|
| Source |
Applied Economics and Finance; Vol 4, No 2 (2017); 1-10
2332-7308 2332-7294 |
|
| Language |
eng
|
|
| Relation |
http://redfame.com/journal/index.php/aef/article/view/2010/2121
|
|