Abstract
We investigate the dynamic dependence structure between the daily stock returns of the A and B shares of the Shanghai and Shenzhen stock markets in China, using time-varying conditional copula and asymmetric dynamic conditional correlation models. We find that the Shanghai market’s A and B shares are more integrated than those of the Shenzhen market. Further, the dynamic dependences between the shares for both markets are asymmetric and lower-tailed, and an increasing correlation with the opening up of the B shares market to Chinese citizens around 2001 is evident.
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