کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5053731 | 1476517 | 2015 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Modeling asymmetric and dynamic dependence of overnight and daytime returns: An empirical evidence from China Banking Sector
ترجمه فارسی عنوان
مدل سازی وابستگی نامتقارن و پویا از بازدهی های یکروزه و روزانه: شواهد تجربی از بخش بانکداری چین
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
Different from previous literature which investigate the dependences between financial variables of interest on close-to-close returns, in this paper we study the dynamic dependence structures between each pair of the overnight (daytime) returns of four major bank shares in China A share market using copula-GARCH models. Besides, to examine the impact of the creation of the CSI 300 stock index futures on the dependence structure, we use the date (April, 16, 2010) when the index futures was launched to break the entire sample into two subsamples. Our results show that the dependences between each pair of overnight (daytime) returns are time-varying. Moreover, the magnitude of the dependence decreases substantially after the creation of the CSI 300 index futures. Additionally, in general the correlations (dependences) between each pair of daytime returns are larger than the correlations (dependences) between each pair of overnight returns, especially for the period after the creation of the index futures.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 51, December 2015, Pages 366-382
Journal: Economic Modelling - Volume 51, December 2015, Pages 366-382
نویسندگان
Bin Tong, Xundi Diao, Chongfeng Wu,