IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v25y2018i2p87-91.html
   My bibliography  Save this article

Time-varying dependence structures of equity markets of China, ASEAN and the USA

Author

Listed:
  • Baoxia Li
  • Zhi Zeng

Abstract

Popular time-varying Copulas are used to analyse the dependence structure between the CSI 300 index return, the S&P 300 index return and the Association of South East Asian Nations (ASEAN) 80 index return. Results show that these three types of stock index returns have obvious time-varying characteristics. The US sub-prime mortgage crisis has strengthened the correlation among the three-stock index returns, whereas the dependence between China and the ASEAN stock markets is more sensitive to the financial crisis. The time-varying features of the extreme dependence risk between China-ASEAN and China-US are very different.

Suggested Citation

  • Baoxia Li & Zhi Zeng, 2018. "Time-varying dependence structures of equity markets of China, ASEAN and the USA," Applied Economics Letters, Taylor & Francis Journals, vol. 25(2), pages 87-91, January.
    • Handle: RePEc:taf:apeclt:v:25:y:2018:i:2:p:87-91
    DOI: 10.1080/13504851.2017.1296545
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/13504851.2017.1296545
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13504851.2017.1296545?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Duy Duong & Toan Luu Duc Huynh, 2020. "Tail dependence in emerging ASEAN-6 equity markets: empirical evidence from quantitative approaches," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-26, December.
    2. Lin, Boqiang & Su, Tong, 2020. "The linkages between oil market uncertainty and Islamic stock markets: Evidence from quantile-on-quantile approach," Energy Economics, Elsevier, vol. 88(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:25:y:2018:i:2:p:87-91. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.