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

18 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

Fingerprint

International stock markets
Modeling
Archimedean copula
Dependence structure
News
Global financial crisis
Emerging markets
Contagion effect
Debt crisis
Empirical results

Keywords

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

ASJC Scopus subject areas

  • Economics and Econometrics

Cite this

Modeling dependence structures among international stock markets : Evidence from hierarchical Archimedean copulas. / Yang, Lu; Cai, Xiao Jing; Li, Mengling; Hamori, Shigeyuki.

In: Economic Modelling, Vol. 51, 01.12.2015, p. 308-314.

Research output: Contribution to journalArticle

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