What drives the dependence between the Chinese and global stock markets?

By applying time-varying copulas and panel regression analysis, this study investigates the dependence between the Chinese and eleven international stock markets, as well as its determinants during the period 2002-2018. Our results indicate that the dependence magnitude between the Chinese stock mar...

Full description

Bibliographic Details
Main Authors: Lingling Qian, Yuexiang Jiang, Huaigang Long
Format: Article
Language:English
Published: Modern Finance Institute 2023-08-01
Series:Modern Finance
Subjects:
Online Access:https://mf-journal.com/article/view/5