Dynamic Dependence Structure between Chinese Stock Market Returns and RMB Exchange Rates

References

• Aloui, C. 2007. Price and volatility spillovers between exchange rates and stock indexes for the pre-and post-euro period. Quantitative Finance 7 (6):669–85. doi:10.1080/14697680701302653.
   Web of Science ®Google Scholar
• Aloui, R., M. S. B. Aïssa, and D. K. Nguyen. 2011. Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? Journal of Banking & Finance 35 (1):130–41. doi:10.1016/j.jbankfin.2010.07.021.
   Web of Science ®Google Scholar
• Aloui, R., M. S. B. Aïssa, and D. K. Nguyen. 2013. Conditional dependence structure between oil prices and exchange rates: a copula-GARCH approach. Journal of International Money and Finance 32:719–738. doi:10.1016/j.jimonfin.2012.06.006.
   Web of Science ®Google Scholar
• Ang, A., and G. Bekaert. 2002. Short rate nonlinearities and regime switches. Journal of Economic Dynamics and Control 26 (7–8):1243–1274. doi:10.1016/S0165-1889(01)00042-2.
   Web of Science ®Google Scholar
• Ang, A., and J. Chen. 2002. Asymmetric correlations of equity portfolios. Journal of Financial Economics 63 (3):443–494. doi:10.1016/S0304-405X(02)00068-5.
   Web of Science ®Google Scholar
• Bahmani-Oskooee, M., and S. Saha. 2016c. Asymmetry cointegration between the value of the dollar and sectoral stock indices in the US. International Review of Economics & Finance 46:78–86. doi:10.1016/j.iref.2016.08.005.
   Web of Science ®Google Scholar
• Bahmani-Oskooee, M., and S. Saha. 2018. On the relation between exchange rates and stock prices: A non-linear ARDL approach and asymmetry analysis. Journal of Economics and Finance 42 (1):112–137. doi:10.1007/s12197-017-9388-8.
   Google Scholar
• Basher, S. A., and P. Sadorsky. (2006). Oil price risk and emerging stock markets. Global Finance Journal 17 (2): 224–251. doi:10.1016/j.gfj.2006.04.001.
   Google Scholar
• Bashir, U., Y. Yu, M. Hussain, and G. F. Zebende. 2016. Do foreign exchange and equity markets co-move in Latin American region? Detrended cross-correlation approach. Physica A: Statistical Mechanics and Its Applications 462:889–97. doi:10.1016/j.physa.2016.06.090.
   Web of Science ®Google Scholar
• Boako, G., M. Omane-Adjepong, and J. M. Frimpong. 2016. Stock returns and exchange rate nexus in Ghana: A Bayesian quantile regression approach. South African Journal of Economics 84 (1):149–79. doi:10.1111/saje.12096.
   Web of Science ®Google Scholar
• Bollerslev, T. 1987. A conditionally heteroskedastic time series model for speculative prices and rates of return. Review of Economics and Statistics 69 (3):542–547.
   Web of Science ®Google Scholar
• Borio, C. (2009). 1.3 The macroprudential approach to regulation and supervision. Post-Crisis Banking Regulation, 23.
   Google Scholar
• Branson, W. H. 1983. Macroeconomic determinants of real exchange risk. In Managing foreign exchange risk, ed. R. J. Herring (pp. 323–327). Cambridge: Cambridge University Press.
   Google Scholar
• Cao, G., L. Xu, and J. Cao. 2012. Multifractal detrended cross-correlations between the Chinese exchange market and stock market. Physica A: Statistical Mechanics and Its Applications 391 (20):4855–66. doi:10.1016/j.physa.2012.05.035.
   Web of Science ®Google Scholar
• Caporale, G. M., F. M. Ali, and N. Spagnolo. 2015. Oil price uncertainty and sectoral stock returns in China: A time-varying approach. China Economic Review 34:311–321. doi:10.1016/j.chieco.2014.09.008.
   Web of Science ®Google Scholar
• Chen, S. W., and T. C. Chen. 2012. Untangling the non-linear causal nexus between exchange rates and stock prices: New evidence from the OECD countries. Journal of Economic Studies 39 (2):231–59. doi:10.1108/01443581211222671.
   Google Scholar
• Chen, X., and Y. Fan. 2006. Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification. Journal of Econometrics 135 (1–2):125–54. doi:10.1016/j.jeconom.2005.07.027.
   Web of Science ®Google Scholar
• Chiang, T. C., B. N. Jeon, and H. Li. 2007. Dynamic correlation analysis of financial contagion: Evidence from Asian markets. Journal of International Money and Finance 26 (7):1206–28. doi:10.1016/j.jimonfin.2007.06.005.
   Web of Science ®Google Scholar
• Chiang, T. C., S. Y. Yang, and T. S. Wang. 2000. Stock return and exchange rate risk: Evidence from Asian stock markets based on a bivariate GARCH model. International Journal of Business 5 (2):97–117.
   Google Scholar
• Chkili, W., C. Aloui, and D. K. Nguyen. 2012. Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates. Journal of International Financial Markets, Institutions and Money 22 (4):738–57. doi:10.1016/j.intfin.2012.04.009.
   Web of Science ®Google Scholar
• Cho, J. W., J. H. Choi, T. Kim, and W. Kim. 2016. Flight-to-quality and correlation between currency and stock returns. Journal of Banking & Finance 62:191–212. doi:10.1016/j.jbankfin.2014.09.003.
   Web of Science ®Google Scholar
• Clayton, D. G. 1978. A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence. Biometrika 65 (1):141–51. doi:10.1093/biomet/65.1.141.
   Web of Science ®Google Scholar
• Cuñado, J., and F. P. de Gracia. (2003). Do oil price shocks matter? Evidence for some European countries. Energy Economics, 25 (2), 137–154. doi:10.1016/S0140-9883(02)00099-3.
   Web of Science ®Google Scholar
• Da Silva, C. G., and F. V. Vieira. 2017. Monetary and fiscal policy in advanced and developing countries: An analysis before and after the financial crisis. The Quarterly Review of Economics and Finance 63:13–20. doi:10.1016/j.qref.2016.04.013.
   Web of Science ®Google Scholar
• Das, S. R., and R. Uppal. 2004. Systemic risk and international portfolio choice. The Journal of Finance 59 (6):2809–2834. doi:10.1111/j.1540-6261.2004.00717.x.
   Web of Science ®Google Scholar
• Diamandis, P. F., and A. A. Drakos. 2011. Financial liberalization, exchange rates and stock prices: Exogenous shocks in four latin america countries. Journal of Policy Modeling 33 (3):381–394. doi:10.1016/j.jpolmod.2010.11.004.
   Web of Science ®Google Scholar
• Dong, X., and S. M. Yoon. 2017. Structural breaks, dynamic correlations, and hedge and safe havens for stock and foreign exchange markets in Greater China. World Economy 1,1–21. doi:10.1111/twec.12584.
   Google Scholar
• Doong, S. C., S. Y. Yang, and A. T. Wang. 2005. The dynamic relationship and pricing of stocks and exchange rates: Empirical evidence from Asian emerging markets. Journal of American Academy of Business 7 (1):118–123.
   Google Scholar
• Dornbusch, R., and S. Fischer. 1980. Exchange rates and the current account. American Economic Review 70 (5):960–71.
   Web of Science ®Google Scholar
• Ehrmann, M., C. Osbat, J. Stráský, and L. Uusküla. 2014. The euro exchange rate during the European sovereign debt crisis–Dancing to its own tune? Journal of International Money and Finance 49:319–39. doi:10.1016/j.jimonfin.2014.06.008.
   Web of Science ®Google Scholar
• Embrechts, P. 1999. Extreme value theory in finance and insurance. Manuscript, Department of Mathematics, ETH, Swiss Federal Technical University.
   Google Scholar
• Engle, R. F., and V. K. Ng. 1993. Measuring and testing the impact of news on volatility. The Journal of Finance 48 (5):1749–1778.
   Web of Science ®Google Scholar
• Genest, C., B. Rémillard, and D. Beaudoin. 2009. Goodness-of-fit tests for copulas: A review and a power study. Insurance: Mathematics and Economics 44 (2):199–213. doi:10.1016/j.insmatheco.2007.10.005.
   Web of Science ®Google Scholar
• Ghorbel, A., and A. Trabelsi. 2007. Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation (No. 3963). Germany: University Library of Munich.
   Google Scholar
• Grégoire, V., C. Genest, and M. Gendron. 2008. Using copulas to model price dependence in energy markets. Energy Risk 5 (5):58–64.
   Google Scholar
• Griffin, J. M., F. Nardari, and R. M. Stulz. 2004. Are daily cross-border equity flows pushed or pulled? Review of Economics and Statistics 86 (3):641–57. doi:10.1162/0034653041811725.
   Web of Science ®Google Scholar
• Gumbel, E. J. 1960. Bivariate exponential distributions. Journal of the American Statistical Association 55 (292):698–707. doi:10.1080/01621459.1960.10483368.
   Web of Science ®Google Scholar
• Han, Y., and X. Zhou. 2017. The relationship between stock and exchange rates for BRICS countries pre-and post-crisis: A mixed C-VINE copula model. Journal for Economic Forecasting, 20 (1), 38–59.
   Google Scholar
• Hansen, B. E. 1994. Autoregressive Conditional Density Estimation. International Economic Review, 35 (3), 705–30.
   Google Scholar
• Ho, L. C., and C. H. Huang. 2015. The nonlinear relationships between stock indexes and exchange rates. Japan and the World Economy 33:20–27. doi:10.1016/j.japwor.2015.02.002.
   Web of Science ®Google Scholar
• Hu, L. 2006. Dependence patterns across financial markets: A mixed copula approach. Applied Financial Economics 16 (10):717–29. doi:10.1080/09603100500426515.
   Google Scholar
• Ibrahim, M. H., and H. Aziz. 2003. Macroeconomic variables and the Malaysian equity market: A view through rolling subsamples. Journal of Economic Studies 30 (1):6–27. doi:10.1108/01443580310455241.
   Google Scholar
• Jondeau, E., and M. Rockinger. 2006. The copula-GARCH model of conditional dependencies: An international stock market application. Journal of International Money and Finance 25 (5):827–53. doi:10.1016/j.jimonfin.2006.04.007.
   Web of Science ®Google Scholar
• Kamal, J. B., and A. E. Haque. 2016. Dependence between stock market and foreign exchange market in South Asia: A Copula-GARCH approach. Journal Of Developing Areas 50 (1):175–95. doi:10.1353/jda.2016.0010.
   Google Scholar
• Karacaer, S., and A. Kapusuzoglu. 2010. Investigating causal relations among stock market and macroeconomic variables: Evidence from Turkey. International Journal of Economic Perspectives 4 (3):501. doi:10.1016/j.irfa.2015.03.006.
   Google Scholar
• Kim, K. H. 2003. Dollar exchange rate and stock price: Evidence from multivariate cointegration and error correction model. Review of Financial Economics 12 (3):301–13. doi:10.1016/S1058-3300(03)00026-0.
   Google Scholar
• Lee, C. H., S. C. Doong, and P. I. Chou. 2011. Dynamic correlation between stock prices and exchange rates. Applied Financial Economics 21 (11):789–800. doi:10.1080/09603107.2010.537631.
   Google Scholar
• Lee, H. T., and J. Yoder. 2007. Optimal hedging with a regime‐switching time‐varying correlation GARCH model. Journal of Futures Markets: Futures, Options, and Other Derivative Products 27 (5):495–516. doi:10.1002/fut.20256.
   Web of Science ®Google Scholar
• Leung, H., D. Schiereck, and F. Schroeder. 2017. Volatility spillovers and determinants of contagion: Exchange rate and equity markets during crises. Economic Modelling 61:169–80. doi:10.1016/j.econmod.2016.12.011.
   Web of Science ®Google Scholar
• Lin, C. H. 2012. The comovement between exchange rates and stock prices in the Asian emerging markets. International Review of Economics & Finance 22 (1):161–72. doi:10.1016/j.iref.2011.09.006.
   Web of Science ®Google Scholar
• Mankiw, N. G. (2010). Questions about fiscal policy: Implications from the financial crisis of 2008–2009. Federal Reserve Bank of St. Louis Review, 92 (May/June 2010).
   Google Scholar
• McNeil, A. J., and R. Frey. (2000). Estimation of tail-related risk measures for heteroscedastic financial time series: An extreme value approach. Journal of empirical finance, 7(3–4): 271–300. doi:10.1016/S0927-5398(00)00012-8.
   Google Scholar
• Mishra, A. K. 2004. Stock market and foreign exchange market in India: Are they related? South Asia Economic Journal 5 (2):209–32. doi:10.1177/139156140400500202.
   Google Scholar
• Narayan, P. K., and S. Narayan. 2010. Modelling the impact of oil prices on vietnam’s stock prices. Applied Energy 87 (1):356–361. doi:10.1016/j.apenergy.2009.05.037.
   Web of Science ®Google Scholar
• Nelsen, R. B. 2007. An introduction to copulas. Springer Science & Business Media.
   Google Scholar
• Nguyen, C. C., and M. I. Bhatti. 2012. Copula model dependency between oil prices and stock markets: Evidence from China and Vietnam. Journal of International Financial Markets, Institutions and Money 22 (4):758–773. doi:10.1016/j.intfin.2012.03.004.
   Web of Science ®Google Scholar
• Nieh, C. C., and H. Y. Yau. 2010. The impact of renminbi appreciation on stock prices in China. Emerging Markets Finance and Trade 46 (1):16–26. doi:10.2753/REE1540-496X460102.
   Web of Science ®Google Scholar
• Ning, C. 2010. Dependence structure between the equity market and the foreign exchange market: A copula approach. Journal of International Money and Finance 29 (5):743–59. doi:10.1016/j.jimonfin.2009.12.002.
   Web of Science ®Google Scholar
• Patton, A. J. 2006. Modelling asymmetric exchange rate dependence. International Economic Review 47 (2):527–56. doi:10.1111/j.1468-2354.2006.00387.x.
   Web of Science ®Google Scholar
• Pericoli, M., and M. Sbracia. 2003. A primer on financial contagion. Journal of Economic Surveys 17 (4):571–608. doi:10.1111/1467-6419.00205.
   Web of Science ®Google Scholar
• Phylaktis, K., and F. Ravazzolo. 2005. Stock prices and exchange rate dynamics. Journal of International Money and Finance 24 (7):1031–53. doi:10.1016/j.jimonfin.2005.08.001.
   Web of Science ®Google Scholar
• Raza, N., S. J. H. Shahzad, A. K. Tiwari, and M. Shahbaz. 2016. Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets. Resources Policy 49:290–301. doi:10.1016/j.resourpol.2016.06.011.
   Web of Science ®Google Scholar
• Reboredo, J. C. 2013. Is gold a safe haven or a hedge for the US dollar? Implications for risk management. Journal of Banking & Finance 37 (8):2665–76. doi:10.1016/j.jbankfin.2013.03.020.
   Web of Science ®Google Scholar
• Reboredo, J. C., and A. Ugolini. 2015. Systemic risk in European sovereign debt markets: A CoVaR-copula approach. Journal of International Money and Finance 51:214–44. doi:10.1016/j.jimonfin.2014.12.002.
   Web of Science ®Google Scholar
• Reboredo, J. C., M. A. Rivera-Castro, and A. Ugolini. 2016. Downside and upside risk spillovers between exchange rates and stock prices. Journal of Banking & Finance 62:76–96. doi:10.1016/j.jbankfin.2015.10.011.
   Web of Science ®Google Scholar
• Rutledge, R. W., K. E. Karim, and C. Li. 2014. A study of the relationship between renminbi exchange rates and Chinese stock prices. International Economic Journal 28 (3):381–403. doi:10.1080/10168737.2014.913652.
   Google Scholar
• Sklar, M. 1959. Fonctions de repartition an dimensions et leurs marges. Publ. Inst. Statist. Univ. Paris 8:229–31.
   Google Scholar
• Soenen, L. A., and E. S. Hennigar. 1988. An analysis of exchange-rates and stock-prices-the united-states experience between 1980 and 1986. Akron Business and Economic Review 19 (4):7–16.
   Google Scholar
• Sui, L., and L. Sun. 2016. Spillover effects between exchange rates and stock prices: Evidence from BRICS around the recent global financial crisis. Research in International Business and Finance 36:459–71. doi:10.1016/j.ribaf.2015.10.011.
   Web of Science ®Google Scholar
• Tsai, I. C. 2012. The relationship between stock price index and exchange rate in Asian markets: A quantile regression approach. Journal of International Financial Markets, Institutions and Money 22 (3):609–21. doi:10.1016/j.intfin.2012.04.005.
   Web of Science ®Google Scholar
• Walid, C., A. Chaker, O. Masood, and J. Fry. 2011. Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach. Emerging Markets Review 12 (3):272–92. doi:10.1016/j.ememar.2011.04.003.
   Web of Science ®Google Scholar
• Wong, H. T. 2017. Real exchange rate returns and real stock price returns. International Review of Economics & Finance 49:340–52. doi:10.1016/j.iref.2017.02.004.
   Web of Science ®Google Scholar
• Yang, R., X. Li, and T. Zhang. 2014. Analysis of linkage effects among industry sectors in China’s stock market before and after the financial crisis. Physica A: Statistical Mechanics and Its Applications 411:12–20. doi:10.1016/j.physa.2014.05.072.
   Web of Science ®Google Scholar
• Yang, S. Y., and S. C. Doong. 2004. Price and volatility spillovers between stock prices and exchange rates: Empirical evidence from the G-7 countries. International Journal of Business and Economics 3 (2):139. doi:10.1007/s11518-018-5371-y.
   Google Scholar
• Zhao, H. 2010. Dynamic relationship between exchange rate and stock price: Evidence from China. Research in International Business and Finance 24 (2):103–12. doi:10.1016/j.ribaf.2009.09.001.
   Google Scholar