Linkages between Shanghai and Hong Kong stock indices

Shenqiu Zhang, Ivan Paya () and David Peel

Applied Financial Economics, 2009, vol. 19, issue 23, 1847-1857

Abstract: This article examines the dynamics of the linkages between Shanghai and Hong Kong stock indices. While the volatility linkage is analysed by a Multivariate Generalized Autoregressive Conditional Heteroscedasticity (MVGARCH) framework, the dependence of returns is examined by a copula approach. Eight different copula functions are applied in this study including two time-varying ones which capture the dynamics of the linkage. The result shows significant tail dependence of the returns in the two markets.

Date: 2009
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DOI: 10.1080/09603100903085066

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