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- W2893142400 abstract "This paper utilized an ARFIMA-IGARCH-Copula model to describe the liquidity commonality effect in the Chinese stock market, and made the static analysis, dynamic analysis and analysis under extreme cases. The results showed that the liquidity commonality was widespread and affected by the relationship between the industry and economic cycle. Time-varying commonality existed significant industry difference, and was sensitive to industrial policy. In extreme cases, liquidity commonality was asymmetric." @default.
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- W2893142400 date "2018-07-04" @default.
- W2893142400 modified "2023-09-23" @default.
- W2893142400 title "Study of liquidity commonality in China's stock market, using an ARFIMA-IGARCH-COPULA model" @default.
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- W2893142400 doi "https://doi.org/10.1080/09720502.2018.1498306" @default.
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