Template-Type: ReDIF-Paper 1.0
Author-Name: S Zhang
Author-Name-First: S
Author-Name-Last: Zhang
Author-Name: I Paya
Author-Name-First: I
Author-Name-Last: Paya
Author-Name: D Peel
Author-Name-First: D
Author-Name-Last: Peel
Title: Linkages between Shanghai and Hong Kong
stock indices
Abstract: This paper examines the dynamics of the linkages between Shang-
hai and Hong Kong stock indices. While the volatility linkage is anal-
ysed by a multivariate GARCH framework, the linkage of returns is
examined using a copula approach. Eight different copula functions
are applied in this study including two time-varying copulas which
capture the time varying process of the linkage. The results show sig-
nificant tail dependence of the returns in the two markets.
Creation-Date: 2009
File-URL: http://www.lancaster.ac.uk/media/lancaster-university/content-assets/documents/lums/economics/working-papers/StockIndices.pdf
File-Format: application/pdf
Number: 599248
Classification-JEL: 
Keywords: 
Handle: RePEc:lan:wpaper:599248