期刊論文
| 學年 | 102 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2013-09-01 |
| 作品名稱 | Has CEPA Increased Stock Market Dependence between Hong Kong and China? The Application of Conditional Copula Technique |
| 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 | ICIC International |
| 著錄名稱、卷期、頁數 | ICIC Express Letters 7(9), pp.2461-2466 |
| 摘要 | We investigate a possible change in conditional dependence between the Hong Kong and Chinese stock markets as a result of the Closer Economic Partnership Arrangement (CEPA) that took effect in 2004. Three types of conditional copula, Gaussian,
 Gumbel, and Clayton, are employed to measure the change in conditional dependence between these two markets. Our results indicate that the conditional dependence derived from the Gumbel copula increases significantly in the post-CEPA period. Conditional dependences derived from the Gaussian and Clayton copulas display a tendency to increase, but do not reach a significant level. These results imply that, in the post-CEPA period, conditional dependence increases significantly only when the Hong Kong and Chinese stock markets are both rising, and not when they are declining or stable. This finding contradicts some previous studies that stock markets are increasingly correlated when in decline. |
| 關鍵字 | CEPA; Copula; Conditional dependence |
| 語言 | en |
| ISSN | 1881-803X |
| 期刊性質 | 國外 |
| 收錄於 | EI |
| 產學合作 | |
| 通訊作者 | Chuang, Chung-Chu |
| 審稿制度 | 是 |
| 國別 | JPN |
| 公開徵稿 | |
| 出版型式 | 紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/95073 ) |