n Annual Proceedings of the South African Statistical Association Conference - Application of multivariate generalised autoregressive score models on JSE and SSE all-share index : a copula approach

Volume 2018 Number Congress 1
  • ISSN :


In this paper, we examined the extreme dependence between the Johannesburg stock exchange (JSE) and the Shanghai stock exchange (SSE) using the all-share index data for both stock markets for the period of 2 January, 2010 to 29 June, 2018. A multivariate generalised autoregressive score (MGAS) framework was used to carry out the analysis. The estimated autoregressive score dynamic allowed the copula parameters to promptly react to important systemic shocks. Hence, we discovered that the two stock markets have leptokurtic stock prices giving us a 56.9% dependence structures within unconditional parameters. Furthermore, our results show a 66.3% positive relationship between the two stock markets. This confirms results from literature and we concluded that the two stock markets are extremely dependent on each other. The results of the study may be used to inform robust policy making in order to improve the stock market activities especially for South Africa and China.

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