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

Wang, K., Chen, Y.-H. and Huang, S.-W. (2011) The dynamic dependence between the Chinese market and other international stock markets: a time-varying copula approach. International Review of Economics and Finance, 20(4), pp. 654-664. (doi:10.1016/j.iref.2010.12.003)

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Abstract

The purpose of this paper is to study the dependence structures between the Chinese market and other major world markets, a reflection of China's increasing integration into the global economy. We used time-varying copula models to show that conditional copulas outperform both unconditional copulas and conventional GARCH models. We consistently found the Chinese market to have the highest levels of dependence, as well as the greatest variability in dependence, with markets in Japan and the Pacific. Our results provide investors interested in the Chinese market with more timely suggestions for portfolio diversification, risk management, and international asset allocation than those derived from static models.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Chen, Professor Cathy Yi-Hsuan
Authors: Wang, K., Chen, Y.-H., and Huang, S.-W.
College/School:College of Social Sciences > Adam Smith Business School > Accounting and Finance
Journal Name:International Review of Economics and Finance
Publisher:Elsevier
ISSN:1059-0560
ISSN (Online):1873-8036
Published Online:29 December 2010

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