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 en
ISSN 1792-6580 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 是
國別 GRC
公開徵稿
出版型式 ,電子版,紙本
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