Analysis of the Dependence among Inland, Hong Kong and London Stock Markets When Hong Kong Returned to China

摘要：

A common approach to the estimation of copula-based models is the method of inference functions for margins (IFM). However, IFM is subject to small-sample bias. This paper proposes to estimate Copula-MGARCH models by applying maximization by parts (MBP), a multi-step optimization algorithm. The results show that, although the inland stock markets and the Hong Kong stock markets, London stock markets and the Hong Kong stock markets as well as the inland stock markets and the London stock markets, have weak correlations, but since reunification, the three correlation parameters are all improved, and the correlation between inland and Hong Kong stock markets has increased remarkably. In addition, as another conclusion of this paper, IFM overestimates the conditional covariance matrices compared with MBP. Meanwhile, MBP estimates have much better performance.

关键词： Stock markets Copula-MGARCH MBP algorithm

作者: Jianli Sui Jinquan Liu

作者单位: Quantitative Research Center of Economics, Jilin University, Changchun, 130012, China

会议类型: 国际会议

会议名称: 第八届武汉电子商务国际会议(The Eighth Wuhan International Conference on E-Business)

会议地点: 武汉

会议语种:英文

页码: 1354-1361

在线出版日期: 2009-05-30（万方平台首次上网日期，不代表论文的发表时间）