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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

Abstract: 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)
Date: 2017
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Handle: RePEc:rfa:aefjnl:v:4:y:2017:i:2:p:1-10