Time-varying conditional dependence in Chinese stock markets

Thierry Ane, Loredana Ureche-Rangau and Chiraz Labidi

Applied Financial Economics, 2008, vol. 18, issue 11, 895-916

Abstract: This article explores the dynamics of the dependence between 'A' and 'B' share indices on the Shanghai and Shenzhen securities exchanges. While the marginal behaviour of each stock index is modelled by an asymmetric Student-t distribution, the nature of the dependence is captured through a copula representation. Our results confirm the already documented time-varying pattern of the dependence structure. Moreover, we show that regional and world shocks as represented by the Hang Seng Asia and the S&P 500 indices affect the marginal distributions of Chinese 'A' and 'B' stock indices, but do not influence the dynamics of their dependence.

Date: 2008
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DOI: 10.1080/09603100701259772

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