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    題名: Impacts of Economic Integration on Stock Market Dependence without Jump Effects
    作者: Chuang, Chung-Chu;Jeff T.C. Lee;Chih-Chiang Wu
    關鍵詞: CEPA;conditional copula;economic integration;GARJI;jump intensity
    日期: 2017/10/28
    上傳時間: 2018-01-03 02:11:17 (UTC+8)
    出版者: Taylor & Francis Group, LLC
    摘要: 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
    DOI: 10.1080/1540496X.2016.1244510
    顯示於類別:[管理科學學系暨研究所] 期刊論文

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