Asymmetric risk spillovers between Shanghai and Hong Kong stock markets under China’s capital account liberalization
The North American Journal of Economics and Finance(2020)
Abstract
•The asymmetric risk spillovers between Shanghai and Hong Kong markets are discussed under two Stock Connect schemes.•The adjusted realized volatilities are introduced to construct copula functions.•The asymmetric features of risk spillovers are significant and manifest different states at three periods.
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Key words
Financial liberalization,Asymmetric risk spillover,CoVaR,Variational mode decomposition,Realized volatility
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