Structural breaks, dynamic correlations, and hedge and safe havens for stock and foreign exchange markets in Greater China

• Published in: World economy Vol. 41; no. 10; pp. 2783 - 2803
• Main Authors: Dong, Xiyong, Yoon, Seong‐Min
• Format: Journal Article
• Language: English
• Published: Oxford Blackwell Publishing Ltd 01.10.2018
• Subjects: American dollar; DCC‐GARCH model; dynamic correlations; Economic analysis; Foreign exchange; Foreign exchange markets; Foreign exchange rates; Greater China; Hedging; Investors; Policy making; Property; Risk; Securities markets; Stochastic models; Stock exchanges; stock markets; structural breaks; China

This study investigates the dynamic relationship and hedging strategy between stock and foreign exchange markets in Greater China for the period 22 July 2005 to 30 November 2015. Using the DCC‐GARCH model with and without structural breaks, the results provide strong evidence of negative time‐varyin...