Economic integration and stock market correlation change the case of ECFA

In this paper, first, we use GJR-GARCH (1,1)-t to fit both Taiwan and Chinese stock markets. Second, we deploy conditional t copula to measure correlation between Taiwan and Chinese stock markets. Finally, we follow the procedure of Gombay and Horvath (1996) and Dias and Embrechts (2004, 2009) to test the unknown correlation change between these two markets.