Author： Zhang Shenqiu Paya Ivan Peel David
Publisher： Routledge Ltd
ISSN： 1466-4305
Source： Applied Financial Economics, Vol.19, Iss.23, 2009-12, pp. : 1847-1857
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Abstract
This article examines the dynamics of the linkages between Shanghai and Hong Kong stock indices. While the volatility linkage is analysed by a Multivariate Generalized Autoregressive Conditional Heteroscedasticity (MVGARCH) framework, the dependence of returns is examined by a copula approach. Eight different copula functions are applied in this study including two time-varying ones which capture the dynamics of the linkage. The result shows significant tail dependence of the returns in the two markets.
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