TY - JOUR
T1 - Modeling dependence structures among international stock markets
T2 - Evidence from hierarchical Archimedean copulas
AU - Yang, Lu
AU - Cai, Xiao Jing
AU - Li, Mengling
AU - Hamori, Shigeyuki
PY - 2015/12/1
Y1 - 2015/12/1
N2 - 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.
AB - 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.
KW - Dependence structure
KW - Financial crisis
KW - HAC-MGARCH
KW - International stock market
UR - http://www.scopus.com/inward/record.url?scp=84941077234&partnerID=8YFLogxK
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U2 - 10.1016/j.econmod.2015.08.017
DO - 10.1016/j.econmod.2015.08.017
M3 - Article
AN - SCOPUS:84941077234
VL - 51
SP - 308
EP - 314
JO - Economic Modelling
JF - Economic Modelling
SN - 0264-9993
ER -