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:Economic Integration and Structure Change in Stock Market Dependence: Empirical Evidences of CEPA
學年102
學期2
出版(發表)日期2014/03/01
作品名稱Economic Integration and Structure Change in Stock Market Dependence: Empirical Evidences of CEPA
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Athens: International Scientific Press
著錄名稱、卷期、頁數Journal of Applied Finance & Banking 4(2), pp.33-45
摘要This study investigates dependence structure changes between the Hong Kong and Chinese stock markets as a result of the Closer Economic Partnership Arrangement (CEPA). Four copulas, Gaussian, student t, Gumbel, and Clayton are used to search for unknown dependence structure changes. This study presents two main findings. First, the dependence between the Hong Kong and Chinese stock markets increased significantly following the structure change that occurred on February2, 2005, about one year after CEPA took effect. Second, the distribution of dependence structure altered from Gumbel copula before the structure change to t copula after the structure change. CEPA’s effects not only changed the dependence parameters but also changed the dependence structure’s distribution.
關鍵字economic integration; copula; volatility structure change; dependence structure change
語言英文
ISSN1792-6580;1792-6599
期刊性質國外
收錄於
產學合作
通訊作者Lee, Jeff T.C.
審稿制度
國別希臘
公開徵稿
出版型式,電子版,紙本
相關連結
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