Modeling asymmetric and dynamic dependence of overnight and daytime returns: An empirical evidence from China Banking Sector

作者：Tong, Bin; Diao, Xundi^*; Wu, Chongfeng

来源：Economic Modelling, 2015, 51: 366-382.

DOI：10.1016/j.econmod.2015.08.020

• Overnight returns
• Daytime returns
• Copulas
• Tail dependence
• Asymmetry

Different from previous literature which investigate the dependences between financial variables of interest on close-to-close returns, in this paper we study the dynamic dependence structures between each pair of the overnight (daytime) returns of four major bank shares in China A share market using copula-GARCH models. Besides, to examine the impact of the creation of the CSI 300 stock index futures on the dependence structure, we use the date (April, 16, 2010) when the index futures was launched to break the entire sample into two subsamples. Our results show that the dependences between each pair of overnight (daytime) returns are time-varying. Moreover, the magnitude of the dependence decreases substantially after the creation of the CSI 300 index futures. Additionally, in general the correlations (dependences) between each pair of daytime returns are larger than the correlations (dependences) between each pair of overnight returns, especially for the period after the creation of the index futures.

• 出版日期2015-12
• 单位上海交通大学; 东华大学