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    題名: Has CEPA Increased Stock Market Dependence between Hong Kong and China? The Application of Conditional Copula Technique
    作者: Chuang, Chung-Chu;Lee, Jeff T. C.
    貢獻者: 淡江大學管理科學學系
    關鍵詞: CEPA;Copula;Conditional dependence
    日期: 2013-09
    上傳時間: 2014-02-10 10:43:58 (UTC+8)
    出版者: ICIC International
    摘要: We investigate a possible change in conditional dependence between the Hong Kong and Chinese stock markets as a result of the Closer Economic Partnership Arrangement (CEPA) that took effect in 2004. Three types of conditional copula, Gaussian,
    Gumbel, and Clayton, are employed to measure the change in conditional dependence between these two markets. Our results indicate that the conditional dependence derived from the Gumbel copula increases significantly in the post-CEPA period. Conditional dependences derived from the Gaussian and Clayton copulas display a tendency to increase, but do not reach a significant level. These results imply that, in the post-CEPA period, conditional dependence increases significantly only when the Hong Kong and Chinese stock markets are both rising, and not when they are declining or stable. This finding contradicts some previous studies that stock markets are increasingly correlated when in decline.
    關聯: ICIC Express Letters 7(9), pp.2461-2466
    顯示於類別:[管理科學學系暨研究所] 期刊論文


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