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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Modern Finance Institute
2023-08-01
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| Series: | Modern Finance |
| Subjects: | |
| Online Access: | https://mf-journal.com/article/view/5 |