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 en_US
ISSN 1540-496X
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 是
國別 GBR
公開徵稿
出版型式 ,電子版
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/112540 )

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