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Time-varying dependence structures of equity markets of China, ASEAN and the USA

Baoxia Li and Zhi Zeng

Applied Economics Letters, 2018, vol. 25, issue 2, 87-91

Abstract: Popular time-varying Copulas are used to analyse the dependence structure between the CSI 300 index return, the S&P 300 index return and the Association of South East Asian Nations (ASEAN) 80 index return. Results show that these three types of stock index returns have obvious time-varying characteristics. The US sub-prime mortgage crisis has strengthened the correlation among the three-stock index returns, whereas the dependence between China and the ASEAN stock markets is more sensitive to the financial crisis. The time-varying features of the extreme dependence risk between China-ASEAN and China-US are very different.

Date: 2018
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Handle: RePEc:taf:apeclt:v:25:y:2018:i:2:p:87-91