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:Impacts of Economic Integration on Stock Market Dependence without Jump Effects
學年106
學期1
出版(發表)日期2017/11/09
作品名稱Impacts of Economic Integration on Stock Market Dependence without Jump Effects
作品名稱(其他語言)
著者Chuang, Chung-Chu; Jeff T.C. Lee; Chih-Chiang Wu
單位
出版者
著錄名稱、卷期、頁數Emerging Markets Finance and Trade 54(1), p.132-143
摘要This article investigates the impacts of the Closer Economic Partnership Arrangement (CEPA)
on stock market dependence between Hong Kong and China. To avoid the influence of unusual events on
stock market dependence, the mixed generalized autoregressive conditional heteroscedastic with the
autoregressive jump intensity (GARJI) margin model was modified to exclude jump innovations. The t
copula was chosen to estimate the unknown dependence break and measure the average dependence level
change. The stock market dependence break occurred about one and a half years after CEPA became
effective, and the CEPA increased stock market dependence between Hong Kong and China. Moreover,
this article shows the influence of stock market jump effects in the case of CEPA.
關鍵字CEPA; conditional copula; economic integration; GARJI; jump intensity
語言英文(美國)
ISSN1540-496X
期刊性質國外
收錄於SSCI;
產學合作
通訊作者Jeff T.C. Lee
審稿制度
國別英國
公開徵稿
出版型式,電子版
相關連結
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