教師資料查詢 | 類別: 期刊論文 | 教師: 莊忠柱 Chung-chu Chuang (瀏覽個人網頁)

標題:Has CEPA Increased Stock Market Dependence between Hong Kong and China? The Application of Conditional Copula Technique
學年102
學期1
出版(發表)日期2013/09/01
作品名稱Has CEPA Increased Stock Market Dependence between Hong Kong and China? The Application of Conditional Copula Technique
作品名稱(其他語言)
著者Chuang, Chung-Chu; Lee, Jeff T. C.
單位淡江大學管理科學學系
出版者ICIC International
著錄名稱、卷期、頁數ICIC Express Letters 7(9), pp.2461-2466
摘要We investigate a possible change in conditional dependence between the Hong Kong and Chinese stock markets as a result of the Closer Economic Partnership Arrangement (CEPA) that took effect in 2004. Three types of conditional copula, Gaussian,
Gumbel, and Clayton, are employed to measure the change in conditional dependence between these two markets. Our results indicate that the conditional dependence derived from the Gumbel copula increases significantly in the post-CEPA period. Conditional dependences derived from the Gaussian and Clayton copulas display a tendency to increase, but do not reach a significant level. These results imply that, in the post-CEPA period, conditional dependence increases significantly only when the Hong Kong and Chinese stock markets are both rising, and not when they are declining or stable. This finding contradicts some previous studies that stock markets are increasingly correlated when in decline.
關鍵字CEPA; Copula; Conditional dependence
語言英文
ISSN1881-803X
期刊性質國外
收錄於EI
產學合作
通訊作者Chuang, Chung-Chu
審稿制度
國別日本
公開徵稿
出版型式紙本
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