期刊論文
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 |
相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/97715 ) |