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J. Risk Financial Manag. 2018, 11(4), 57;

Modeling the Dependence Structure of Share Prices among Three Chinese City Banks

Graduate School of Economics, Kobe University, 2-1, Rokkodai, Nada-Ku, Kobe 657-8501, Japan
Author to whom correspondence should be addressed.
Received: 23 August 2018 / Revised: 14 September 2018 / Accepted: 28 September 2018 / Published: 29 September 2018
(This article belongs to the Special Issue Empirical Finance)
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We study the dependence structure of share price returns among the Beijing Bank, Ningbo Bank, and Nanjing Bank using copula models. We use the normal, Student’s t, rotated Gumbel, and symmetrized Joe-Clayton (SJC) copula models to estimate the underlying dependence structure in two periods: one covering the global financial crisis and the other covering the domestic share market crash in China. We show that Beijing Bank is less dependent on the other two city banks than Nanjing Bank, which is dependent on the other two in share price extreme returns. We also observe a major decrease of dependency from 2007 to 2018 in three one-to-one dependence structures. Interestingly, contrary to recent literatures, Ningbo Bank and Nanjing Bank tend to be more dependent on each other in positive returns than in negative returns during the past decade. We also show the dynamic dependence structures among three city banks using time-varying copula. View Full-Text
Keywords: city banks; dependence structure; copula city banks; dependence structure; copula

Figure 1

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Liu, G.; Cai, X.-J.; Hamori, S. Modeling the Dependence Structure of Share Prices among Three Chinese City Banks. J. Risk Financial Manag. 2018, 11, 57.

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