Study of liquidity commonality in China's stock market, using an ARFIMA-IGARCH-COPULA model - Details

author：

Zhou, Xi-Wen (Zhou, Xi-Wen.) ^[1] | Tan, Zhen-Peng (Tan, Zhen-Peng.) ^[2] | Huang, Mao-Hai (Huang, Mao-Hai.) ^[3]

Indexed by：

EI Scopus

Abstract：

This　paper　utilized　an　ARFIMA-IGARCH-Copula　model　to　describe　the　liquidity　commonality　effect　in　the　Chinese　stock　market,　and　made　the　static　analysis,　dynamic　analysis　and　analysis　under　extreme　cases.　The　results　showed　that　the　liquidity　commonality　was　widespread　and　affected　by　the　relationship　between　the　industry　and　economic　cycle.　Time-varying　commonality　existed　significant　industry　difference,　and　was　sensitive　to　industrial　policy.　In　extreme　cases,　liquidity　commonality　was　asymmetric.　©　2018,　©　2018　Taru　Publications.

Keyword：

Commerce Financial markets

Community：

[ 1 ] [Zhou, Xi-Wen]School of Economics & Management, Fuzhou University, Fuzhou; 350001, China
[ 2 ] [Zhou, Xi-Wen]College of Finance, Fujian Jiangxia University, Fuzhou; 350000, China
[ 3 ] [Tan, Zhen-Peng]School of Economics & Management, Fuzhou University, Fuzhou; 350001, China
[ 4 ] [Huang, Mao-Hai]College of Finance, Fujian Jiangxia University, Fuzhou; 350000, China