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《Systems Engineering-Theory & Practice》 2011-04
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Financial market openness and risk contagion:A time-varying Copula approach

WANG Yong-qiao,LIU Shi-wen (College of Finance,Zhejiang Gongshang University,Hangzhou 310018,China)  
The paper proposes a time-varying Copula to study financial contagion issues between China mainland and major international stock markets in the opening process of Chinese capital markets.By modeling marginal distributions as AR(1)-GJR(1,1)-t and dependence relations as time-varying SJC Copula, the paper analyzes time-varying co-movements between China mainland and US,UK,Japan,HK stock markets in the interval from Jan 2000 to Nov 2010.The empirical results show that:the lower-tail dependence with US,UK and Japan still stays in a weak level,while the lower tail dependence with HK steadily keeps increasing in the opening process;the upper-tail dependence with all international major stock markets shows a consistent low level.
【Fund】: 教育部人文社会科学研究基金(10YJC790265);; 浙江省自然科学基金(Y7080205);; 浙江省高校人文社科重点研究基地(金融学)
【CateGory Index】: F224;F832.51
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