{"id":"https://openalex.org/W2769228570","doi":"https://doi.org/10.1111/twec.12584","title":"Structural breaks, dynamic correlations, and hedge and safe havens for stock and foreign exchange markets in Greater China","display_name":"Structural breaks, dynamic correlations, and hedge and safe havens for stock and foreign exchange markets in Greater China","publication_year":2017,"publication_date":"2017-11-26","ids":{"openalex":"https://openalex.org/W2769228570","doi":"https://doi.org/10.1111/twec.12584","mag":"2769228570"},"language":"en","primary_location":{"id":"doi:10.1111/twec.12584","doi":"https://doi.org/10.1111/twec.12584","is_oa":false,"landing_page_url":"https://doi.org/10.1111/twec.12584","pdf_url":null,"source":{"id":"https://openalex.org/S45372229","display_name":"World Economy","issn_l":"0378-5920","issn":["0378-5920","1467-9701"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","jufo-1","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The World Economy","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5029699919","display_name":"Xiyong Dong","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I4921948","display_name":"Pusan National University","ror":"https://ror.org/01an57a31","country_code":"KR","type":"education","lineage":["https://openalex.org/I4921948"]}],"countries":["KR"],"is_corresponding":false,"raw_author_name":"Xiyong Dong","raw_affiliation_strings":["Department of Economics Pusan National University Busan Korea"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics Pusan National University Busan Korea","institution_ids":["https://openalex.org/I4921948"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5020782933","display_name":"Seong\u2010Min Yoon","orcid":"https://orcid.org/0000-0003-3011-9486","observed_orcids":["https://orcid.org/0000-0003-3011-9486"]},"institutions":[{"id":"https://openalex.org/I4921948","display_name":"Pusan National University","ror":"https://ror.org/01an57a31","country_code":"KR","type":"education","lineage":["https://openalex.org/I4921948"]}],"countries":["KR"],"is_corresponding":false,"raw_author_name":"Seong\u2010Min Yoon","raw_affiliation_strings":["Department of Economics Pusan National University Busan Korea"],"raw_orcid":"https://orcid.org/0000-0003-3011-9486","affiliations":[{"raw_affiliation_string":"Department of Economics Pusan National University Busan Korea","institution_ids":["https://openalex.org/I4921948"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I4921948"],"apc_list":{"value":3570,"currency":"USD","value_usd":3570},"apc_paid":null,"fwci":1.5451,"has_fulltext":false,"cited_by_count":18,"citation_normalized_percentile":{"value":0.86146806,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":93,"max":97},"biblio":{"volume":"41","issue":"10","first_page":"2783","last_page":"2803"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9848999977111816,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9848999977111816,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.0142000000923872,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10503","display_name":"Global Financial Crisis and Policies","score":0.0003000000142492354,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/structural-breaks","display_name":"structural breaks","score":0.8019999861717224},{"id":"https://openalex.org/keywords/dynamic-conditional-correlation","display_name":"dynamic conditional correlation","score":0.6959999799728394},{"id":"https://openalex.org/keywords/stock-exchange","display_name":"stock exchange","score":0.5920000076293945},{"id":"https://openalex.org/keywords/foreign-exchange-market","display_name":"foreign exchange market","score":0.9940000176429749},{"id":"https://openalex.org/keywords/hedging","display_name":"hedging","score":0.6629999876022339},{"id":"https://openalex.org/keywords/safe-haven","display_name":"safe haven","score":0.7229999899864197},{"id":"https://openalex.org/keywords/us-dollar","display_name":"US dollar","score":0.6209999918937683},{"id":"https://openalex.org/keywords/volatility-persistence","display_name":"volatility persistence","score":0.6510000228881836},{"id":"https://openalex.org/keywords/greater-china","display_name":"Greater China","score":0.7099999785423279},{"id":"https://openalex.org/keywords/portfolio-risk-management","display_name":"portfolio risk management","score":0.6539999842643738}],"concepts":[{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6703811287879944},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.6413686275482178},{"id":"https://openalex.org/C191935318","wikidata":"https://www.wikidata.org/wiki/Q148","display_name":"China","level":2,"score":0.6327217221260071},{"id":"https://openalex.org/C2992712416","wikidata":"https://www.wikidata.org/wiki/Q7398532","display_name":"Safe haven","level":2,"score":0.6264248490333557},{"id":"https://openalex.org/C70771513","wikidata":"https://www.wikidata.org/wiki/Q235779","display_name":"Hedge","level":2,"score":0.576611340045929},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.5506177544593811},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5486735105514526},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5294273495674133},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.5201302170753479},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5130935907363892},{"id":"https://openalex.org/C2983132609","wikidata":"https://www.wikidata.org/wiki/Q66076","display_name":"Foreign exchange","level":2,"score":0.5024435520172119},{"id":"https://openalex.org/C200870193","wikidata":"https://www.wikidata.org/wiki/Q11691","display_name":"Stock exchange","level":2,"score":0.4591405391693115},{"id":"https://openalex.org/C109168655","wikidata":"https://www.wikidata.org/wiki/Q242988","display_name":"Liberian dollar","level":2,"score":0.4422560930252075},{"id":"https://openalex.org/C121087249","wikidata":"https://www.wikidata.org/wiki/Q546395","display_name":"Emerging markets","level":2,"score":0.4358070194721222},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.327564537525177},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.09155833721160889},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C18903297","wikidata":"https://www.wikidata.org/wiki/Q7150","display_name":"Ecology","level":1,"score":0.0},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1111/twec.12584","doi":"https://doi.org/10.1111/twec.12584","is_oa":false,"landing_page_url":"https://doi.org/10.1111/twec.12584","pdf_url":null,"source":{"id":"https://openalex.org/S45372229","display_name":"World Economy","issn_l":"0378-5920","issn":["0378-5920","1467-9701"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","jufo-1","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The World Economy","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[{"id":"https://openalex.org/G1314532961","display_name":null,"funder_award_id":"CSC No. 201608260112","funder_id":"https://openalex.org/F4320322725","funder_display_name":"China Scholarship Council"}],"funders":[{"id":"https://openalex.org/F4320322725","display_name":"China Scholarship Council","ror":"https://ror.org/04atp4p48"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":43,"referenced_works":["https://openalex.org/W1487000023","https://openalex.org/W1588163064","https://openalex.org/W1727659491","https://openalex.org/W1866021196","https://openalex.org/W1965551227","https://openalex.org/W1971358809","https://openalex.org/W1975994995","https://openalex.org/W1980807475","https://openalex.org/W1983902298","https://openalex.org/W1986831338","https://openalex.org/W1994616534","https://openalex.org/W1995559492","https://openalex.org/W1997529623","https://openalex.org/W1997864888","https://openalex.org/W2000818357","https://openalex.org/W2005275598","https://openalex.org/W2032530866","https://openalex.org/W2033909968","https://openalex.org/W2035520026","https://openalex.org/W2043909041","https://openalex.org/W2045994462","https://openalex.org/W2047321772","https://openalex.org/W2050159767","https://openalex.org/W2051564300","https://openalex.org/W2062843205","https://openalex.org/W2067038792","https://openalex.org/W2075304461","https://openalex.org/W2075513129","https://openalex.org/W2079615115","https://openalex.org/W2079833058","https://openalex.org/W2093230975","https://openalex.org/W2097459257","https://openalex.org/W2097580026","https://openalex.org/W2177526687","https://openalex.org/W2181745932","https://openalex.org/W2214799404","https://openalex.org/W2270868013","https://openalex.org/W3121940608","https://openalex.org/W3123675820","https://openalex.org/W3123951588","https://openalex.org/W3124454571","https://openalex.org/W3124868250","https://openalex.org/W3134505694"],"related_works":["https://openalex.org/W2368768118","https://openalex.org/W3159237166","https://openalex.org/W2350292403","https://openalex.org/W1603436773","https://openalex.org/W2289117624","https://openalex.org/W7214684119","https://openalex.org/W2979700941","https://openalex.org/W2360520047","https://openalex.org/W4392232188","https://openalex.org/W2164344079"],"abstract_inverted_index":{"Abstract":[0],"This":[1],"study":[2],"investigates":[3],"the":[4,20,30,38,56,67,87],"dynamic":[5],"relationship":[6],"and":[7,12,34,76,82,107],"hedging":[8],"strategy":[9],"between":[10,47],"stock":[11,93],"foreign":[13],"exchange":[14,60],"markets":[15,50,75],"in":[16,51],"Greater":[17,52,91],"China":[18,92],"for":[19,72,101],"period":[21],"22":[22],"July":[23],"2005":[24],"to":[25],"30":[26],"November":[27],"2015.":[28],"Using":[29],"DCC\u2010GARCH":[31],"model":[32],"with":[33,55],"without":[35],"structural":[36,64],"breaks,":[37],"results":[39],"provide":[40,78],"strong":[41],"evidence":[42],"of":[43,59,69,86],"negative":[44],"time\u2010varying":[45],"correlations":[46],"these":[48],"two":[49],"China,":[53],"consistent":[54],"\u201cstock\u2010oriented\u201d":[57],"models":[58],"rates.":[61],"Moreover,":[62],"adding":[63],"breaks":[65],"reduces":[66],"degree":[68],"volatility":[70],"persistence":[71],"all":[73],"considered":[74],"can":[77],"more":[79],"accurate":[80],"hedge":[81],"safe":[83],"haven":[84],"properties":[85],"US":[88],"dollar":[89],"against":[90],"markets.":[94],"The":[95],"findings":[96],"have":[97],"several":[98],"important":[99],"implications":[100],"portfolio":[102],"risk":[103],"managers,":[104],"international":[105],"investors":[106],"policymakers.":[108]},"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":4},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":2}],"updated_date":"2026-11-07T11:25:07.637180","created_date":"2017-12-04T00:00:00"}