Modeling dependence structures among international stock markets: Evidence from hierarchical Archimedean copulas

Lu Yang, Xiao Jing Cai, Mengling Li, Shigeyuki Hamori

Research output: Contribution to journalArticle

22 Citations (Scopus)

Abstract

This study investigates dependence structures among international stock markets, including developed, emerging, and frontier markets, using the hierarchical Archimedean copula model. Empirical results indicate that emerging markets show the strongest dependence with European markets. Frontier markets show the weakest dependence with other market. After the global financial crisis, the lower dependence structure among the international stock markets has changed. Negative news have a larger impact on the degree of dependence than positive news. Contagion effect is observed in both the global financial crisis and the EU debt crisis.

Original languageEnglish
Pages (from-to)308-314
Number of pages7
JournalEconomic Modelling
Volume51
DOIs
Publication statusPublished - Dec 1 2015
Externally publishedYes

Keywords

  • Dependence structure
  • Financial crisis
  • HAC-MGARCH
  • International stock market

ASJC Scopus subject areas

  • Economics and Econometrics

Fingerprint Dive into the research topics of 'Modeling dependence structures among international stock markets: Evidence from hierarchical Archimedean copulas'. Together they form a unique fingerprint.

Cite this