Linkages between Shanghai and Hong Kong stock indices

David A. Peel, Ivan Paya () and Shenqiu Zhang

No 5927, Working Papers from Lancaster University Management School, Economics Department

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.

New Economics Papers: this item is included in nep-cna
Date: 2009
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