關鍵字查詢 | 類別:期刊論文 | | 關鍵字:Impacts of Economic Integration on Stock Market Dependence without Jump Effects

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1 106/1 管科系 莊忠柱 教授 期刊論文 發佈 Impacts of Economic Integration on Stock Market Dependence without Jump Effects , [106-1] :Impacts of Economic Integration on Stock Market Dependence without Jump Effects期刊論文Impacts of Economic Integration on Stock Market Dependence without Jump EffectsChuang, Chung-Chu; Jeff T.C. Lee; Chih-Chiang WuCEPA; conditional copula; economic integration; GARJI; jump intensityEmerging Markets Finance and Trade 54(1), p.132-143This 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 an
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