The dynamic dependence between the Chinese market and other international stock markets: A time-varying copula approach

International Review of Economics and Finance

Volumn 20, Issue 4, 2011, Pages 654-664

  Wang, Kehluh ^a   Chen, Yi Hsuan ^b   Huang, Szu Wei ^a  

^a NATIONAL CHIAO TUNG UNIVERSITY   (Taiwan)

^b CHUNG HUA UNIVERSITY   (Taiwan)

Author keywords

Chinese market; Dependence structure; Diversification; International investment; Time varying copula

Indexed keywords

EID: 79957551876     PISSN: 10590560     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.iref.2010.12.003     Document Type: Article

References (42)

1. Ane T., Labidi C. Spillover effects and conditional dependence. International Review of Economics and Finance 2006, 15:417-442.
2. Bae K.H., Karolyi G.A., Stulz R.M. A new approach to measuring financial contagion. Review of Financial Studies 2003, 16:717-763.
3. Bartram S.M., Dufey G. International portfolio investment: theory, evidence and institutional framework. Financial Markets, Institutions & Instruments 2001, 10:85-155.
4. Bartram S.M., Taylor S.J., Wang Y.H. The Euro and European financial market dependence. Journal of Banking and Finance 2007, 31:1461-1481.
5. Baur D.G. Contagion or interdependence? An empirical analysis of the linkages between the Chinese and the German stock markets. Working paper 2007, Dublin City University.
6. Bekaert G., Harvey C.R., Ng A. Market integration and contagion. Journal of Business 2005, 78:39-69.
7. Breymann W., Dias A., Embrechts P. Dependence structures for multivariate high-frequency data in finance. Quantitative Finance 2003, 3:1-16.
8. Chan K.C., Fung H.G., Thapa S. China financial research: A review and synthesis. International Review of Economics and Finance 2007, 16:416-428.
9. Chan L., Lien D., Weng W. Financial interdependence between Hong Kong and the US: A band spectrum approach. International Review of Economics and Finance 2008, 17:507-516.
10. Chang A.K.H., Chou S.L., Wu C.S. International transmission of stock market movements within the great China economic area. PanPacific Management Review 2000, 3:283-298.
11. Chen X., Fan Y. Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification. Journal of Econometrics 2006, 135:125-154.
12. Cheng H., Glascock J.L. Dynamic linkages between the greater China economic area stock markets-mainland China, Hong Kong and Taiwan. Review of Quantitative Finance and Accounting 2005, 24:343-357.
13. Cheng H., Glascock J.L. Stock market linkages before and after the Asian financial crisis: evidence from three greater China economic area stock markets and the US. Review of Pacific Basin Financial Markets and Policies 2006, 9:297-315.
14. Christoffersen P.F. Evaluating interval forecasts. International Economic Review 1998, 39:841-862.
15. Evans T., McMillan D.G. Financial co-movement and correlation: Evidence from 33 international stock market indices. International Journal of Banking, Accounting and Finance 2009, 1:215-241.
16. Engle R.F., Ng V.K. Measuring and testing the impact of news on volatility. Journal of Finance 1993, 48:1749-1778.
17. Forbes K.J., Rigobon R. No contagion, only interdependence: Measuring stock market co-movements. Journal of Finance 2002, 57:2223-2261.
18. Galiani, S.S., 2003, Copula functions and their application in pricing and risk managing multi-name credit derivatives products, Master thesis, Department of Mathematics, Kings College, London.
19. Glosten L.R., Jagannathan R., Runkle D. Relationship between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance 1993, 48:1779-1801.
20. Goetzmann W.N., Li L., Rouwenhorst K.G. Long-term global market correlations. Journal of Business 2005, 78:1-37.
21. Granger C.W.J., Terasvirta T., Patton A.J. Common factors in conditional distributions for bivariate time series. Journal of Econometrics 2006, 132:43-57.
22. Guo F., Huang Y.S. Does "hot money" drive China's real estate and stock markets?. International Review of Economics and Finance 2010, 19:452-466.
23. Hu J. Dependence structures in Chinese and U.S. financial markets: A time-varying conditional copula approach. Applied Financial Economics 2010, 20:561-583.
24. Hyde S., Bredin D., Nguyen N. Correlation dynamics between Asia-Pacific, EU and US stock returns. International Finance Review 2007, 8:39-61.
25. Jalil A., Feridun M., Ma Y. Finance-growth nexus in China revisited: New evidence from principal components and ARDL bounds tests. International Review of Economics and Finance 2010, 19:189-195.
26. Joe H., Xu J.J. The estimation method of inference functions for margins for multivariate models. Technical report 166 1996, Department of Statistics, University of British Columbia.
27. Jondeau E., Rockinger M. The copula-GARCH model of conditional dependences: An international stock market application. Journal of International Money and Finance 2006, 25:827-853.
28. Lane P.R. The international financial integration of China and India, No 4132. Policy research working paper series 2006, The World Bank.
29. Lai Y., Tseng J.C. The role of Chinese stock market in global stock markets: A safe haven or a hedge?. International Review of Economics and Finance 2010, 19:211-218.
30. Li H. International linkages of the Chinese stock exchanges: A multivariate GARCH analysis. Applied Financial Economics 2007, 17:285-297.
31. Lien D., Chen Y. Recent development in China's financial markets: An introduction. International Review of Economics and Finance 2010, 19:177-179.
32. Longin F., Solnik B. Extreme correlation of international equity market. Journal of Finance 2001, 56:649-676.
33. Maghyereh A. Oil price shock and emerging stock markets: A generalized VAR approach. International Journal of Applied Econometrics and Quantitative Studies 2004, 1:27-40.
34. Mashal R., Zeevi A. Beyond correlation: Extreme co-movements between financial assets. Working paper 2002, Columbia University.
35. Meneguzzo D., Vecchiato W. Copula sensitivity in collateralized debt obligations and basket default swaps. The Journal of Futures Markets 2004, 24:37-70.
36. Nelson D.B. Conditional heteroskedasticity in asset returns: A new approach. Econometrica 1991, 59:347-370.
37. Patton A.J. Modelling asymmetric exchange rate dependence. International Economic Review 2006, 47:527-556.
38. Patton A.J. Estimation of multivariate models for time series of possibly different lengths. Journal of Applied Econometrics 2006, 21:147-173.
39. Poon S.H., Rockinger M., Tawn J. Extreme value dependence in financial markets: Diagnostics, models, and financial implications. Review of Financial Studies 2004, 17:581-610.
40. Rivers D., Vuong Q. Model selection tests for nonlinear dynamic models. Econometrics Journal 2002, 5:1-39.
41. Sun Q., Tong W.H.S., Yan Y. Market liberalization within a country. Journal of Empirical Finance 2009, 16:18-41.
42. Xu X.E., Fung H.G. Information flows across markets: Evidence from China-backed stocks dual-listed in Hong Kong and New York. The Financial Review 2002, 37:563-588.