Has CEPA Increased Stock Market Dependence between Hong Kong and China? The Application of Conditional Copula Technique
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
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