Economic integration and structure change in stock market dependence: Empirical evidences of CEPA
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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.
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Economic integration and structure change in stock market dependence: Empirical evidences of CEPA
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Economic integration and structure change in stock market dependence: Empirical evidences of CEPA
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