An Investigation of the Cross-Strait Economic Integration and Dependence of Stock Markets

摘要

In this article, the authors intend to investigate the cross-strait economic integration and the dependence of stock markets between Mainland China and Taiwan. The authors first identify a sequence of important events that have loosened policy restrictions on transportation, commerce, and communication between mainland China and Taiwan. The authors employ various dependence functions to examine the degrees of dependence with symmetric and asymmetric structures to estimate the effects of economic integration on the tail dependence for the major industries. The authors find the market and industrial dependence has significantly increased as well as the market index due to the tendency of the cross-strait economic integration.