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

The dynamic dependence between stock markets in the greater China economic area: a study based on... 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). http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Financial Markets and Portfolio Management Springer Journals

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

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Publisher
Springer Journals
Copyright
Copyright © 2018 by Swiss Society for Financial Market Research
Subject
Business and Management; Business and Management, general; Finance, general; Management
ISSN
1934-4554
eISSN
2373-8529
D.O.I.
10.1007/s11408-018-0308-5
Publisher site
See Article on Publisher Site

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).

Journal

Financial Markets and Portfolio ManagementSpringer Journals

Published: May 4, 2018

References

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