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Stock Market Integration in China: Evidence from the Asymmetric DCC Model and Copula Approach

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  • Xiao Jing Cai
  • Shuairu Tian
  • Shigeyuki Hamori

Abstract

We investigate the dynamic dependence structure between the daily stock returns of the A and B shares of the Shanghai and Shenzhen stock markets in China, using time-varying conditional copula and asymmetric dynamic conditional correlation models. We find that the Shanghai market¡¯s A and B shares are more integrated than those of the Shenzhen market. Further, the dynamic dependences between the shares for both markets are asymmetric and lower-tailed, and an increasing correlation with the opening up of the B shares market to Chinese citizens around 2001 is evident.

Suggested Citation

  • Xiao Jing Cai & Shuairu Tian & Shigeyuki Hamori, 2017. "Stock Market Integration in China: Evidence from the Asymmetric DCC Model and Copula Approach," Applied Economics and Finance, Redfame publishing, vol. 4(2), pages 1-10, March.
    • Handle: RePEc:rfa:aefjnl:v:4:y:2017:i:2:p:1-10
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    Cited by:

    1. Guoxiang Xu & Wangfeng Gao, 2019. "Financial Risk Contagion in Stock Markets: Causality and Measurement Aspects," Sustainability, MDPI, vol. 11(5), pages 1-20, March.

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    More about this item

    Keywords

    asymmetric dynamic conditional correlation; time-varying copula; dynamic dependence; Chinese stock markets;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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