Economic integration and structure change in stock market dependence: Empirical evidences of CEPA
Economic integration and structure change in stock market dependence: Empirical evidences of CEPA
This study investigates dependence structure changes between the Hong Kong and Chinese stock markets as a result of the Closer Economic Partnership Arrangement (CEPA). Four copulas, Gaussian, student t, Gumbel, and Clayton are used to search for unknown dependence structure changes.