淡江大學機構典藏:Item 987654321/97715
English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 57310/90918 (63%)
造訪人次 : 13018583      線上人數 : 320
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜尋範圍 查詢小技巧:
  • 您可在西文檢索詞彙前後加上"雙引號",以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋,建議至進階搜尋限定作者欄位,可獲得較完整資料
  • 進階搜尋
    請使用永久網址來引用或連結此文件: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/97715


    題名: Economic Integration and Structure Change in Stock Market Dependence: Empirical Evidences of CEPA
    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: economic integration;copula;volatility structure change;dependence structure change
    日期: 2014-03-01
    上傳時間: 2014-04-16 10:40:27 (UTC+8)
    出版者: Athens: International Scientific Press
    摘要: This study investigates dependence structure changes between the Hong Kong and Chinese stock markets as a result of the Closer Economic Partnership Arrangement (CEPA). Four copulas, Gaussian, student t, Gumbel, and Clayton are used to search for unknown dependence structure changes. This study presents two main findings. First, the dependence between the Hong Kong and Chinese stock markets increased significantly following the structure change that occurred on February2, 2005, about one year after CEPA took effect. Second, the distribution of dependence structure altered from Gumbel copula before the structure change to t copula after the structure change. CEPA’s effects not only changed the dependence parameters but also changed the dependence structure’s distribution.
    關聯: Journal of Applied Finance & Banking 4(2), pp.33-45
    顯示於類別:[管理科學學系暨研究所] 期刊論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    Economic Integration and Structure Change in Stock Market Dependence-Empirical Evidences of CEPA(Journal of Applied Finance .pdf150KbAdobe PDF182檢視/開啟
    index.html0KbHTML236檢視/開啟

    在機構典藏中所有的資料項目都受到原著作權保護.

    TAIR相關文章

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - 回饋