The dynamic dependence between stock markets in the greater China economic area: a study based on extreme values and copulas

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1 Citation (Scopus)

Abstract

This study employs the dynamic copula method and extreme value theory to investigate the dependence structure between pairs of greater China economic area (GCEA) stock markets consisting of Shanghai (SHSE), Shenzhen (SZSE), Hong Kong (HKSE), and Taiwan (TWSE) stock exchanges from July 2000 to June 2017. We also examine the impact of financial crisis on the dependence structure by considering the global financial crisis and the Chinese stock market crash (2015–2016). Many studies have shown that the benefits of portfolio diversification across the stock markets in the same region could be diminishing. However, it is interesting to see that the diversification benefits appear to be viable for investing in some GCEA pairs of stock markets (SHSE–TWSE and SZSE–HKSE).

Original languageEnglish
Pages (from-to)207-233
Number of pages27
JournalFinancial Markets and Portfolio Management
Volume32
Issue number2
DOIs
Publication statusPublished - 1 May 2018

Fingerprint

Economics
Extreme values
Greater China
Copula
Stock market
Dependence structure
Diversification benefits
Investing
Stock market crash
Hong Kong
Chinese stock market
Financial crisis
Global financial crisis
Extreme value theory
Portfolio diversification
Dynamic copula
Taiwan Stock Exchange
Shanghai
Shenzhen

Keywords

  • Chinese stock markets
  • Copula
  • Dependence structure
  • Extreme value theory
  • Financial crisis

ASJC Scopus subject areas

  • Accounting
  • Finance

Cite this

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