This article investigates the impacts of the Closer Economic Partnership Arrangement (CEPA)
on stock market dependence between Hong Kong and China. To avoid the influence of unusual events on
stock market dependence, the mixed generalized autoregressive conditional heteroscedastic with the
autoregressive jump intensity (GARJI) margin model was modified to exclude jump innovations. The t
copula was chosen to estimate the unknown dependence break and measure the average dependence level
change. The stock market dependence break occurred about one and a half years after CEPA became
effective, and the CEPA increased stock market dependence between Hong Kong and China. Moreover,
this article shows the influence of stock market jump effects in the case of CEPA.
關聯:
Emerging Markets Finance and Trade 54(1), p.132-143