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 language | English |
|---|---|
| Pages (from-to) | 308-314 |
| Number of pages | 7 |
| Journal | Economic Modelling |
| Volume | 51 |
| DOIs | |
| Publication status | Published - Dec 1 2015 |
| Externally published | Yes |
Keywords
- Dependence structure
- Financial crisis
- HAC-MGARCH
- International stock market
ASJC Scopus subject areas
- Economics and Econometrics
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Yang, L., Cai, X. J., Li, M., & Hamori, S. (2015). Modeling dependence structures among international stock markets: Evidence from hierarchical Archimedean copulas. Economic Modelling, 51, 308-314. https://doi.org/10.1016/j.econmod.2015.08.017