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WHEN LLC INTERESTS ARE SECURITIES

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For our empirical analysis, we adopt and modify the structural dynamic conditional cor- relation (SDCC) framework proposed by Weber (2008b). Daily market index series are deployed for this examination. The sample is divided into two sub-periods, 1997-2001 and 2002-2008. With this structure we can grasp the e ects of the new policy, allowing domes- tic investors to access the B market, which was implemented in February 2001. Results of preliminary tests show that there exists considerable contemporaneous cross-correlation of returns, caused by common factors a ecting both markets, or by contemporaneous spillover e ects....
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WHEN LLC INTERESTS ARE SECURITIES

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