Stock Market Integration in China: Evidence from the Asymmetric DCC Model and Copula Approach
Xiao Jing Cai,
Shuairu Tian and
Shigeyuki Hamori ()
Applied Economics and Finance, 2017, vol. 4, issue 2, 1-10
We investigate the dynamic dependence structure between the daily stock returns of the A and B shares of the Shanghai and Shenzhen stock markets in China, using time-varying conditional copula and asymmetric dynamic conditional correlation models. We find that the Shanghai market¡¯s A and B shares are more integrated than those of the Shenzhen market. Further, the dynamic dependences between the shares for both markets are asymmetric and lower-tailed, and an increasing correlation with the opening up of the B shares market to Chinese citizens around 2001 is evident.
Keywords: asymmetric dynamic conditional correlation; time-varying copula; dynamic dependence; Chinese stock markets (search for similar items in EconPapers)
JEL-codes: R00 Z0 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:rfa:aefjnl:v:4:y:2017:i:2:p:1-10
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