Copula approach to market volatility and technology stocks dependence

Barbara Rašiová and Peter Árendáš

Finance Research Letters, 2023, vol. 52, issue C

Abstract: Despite the technology sector being highly responsive to market fluctuations, individual instances of its lower sensitivity to high market volatility and crisis are documented. This paper analyzes the dependence between the stock market volatility and technology on the U.S. market using the copula modeling approach. Results indicate that The dependence between market volatility and returns of the technology stocks is strongly negative and asymmetrically increasing with surges in market volatility, signaling a presence of negative lower tail. The 270°rotated Gumbel copula is chosen as the best fitting model. The observed dependence is in line with stylized facts for financial returns.

Keywords: Copula; Market volatility; Technology; Stock returns (search for similar items in EconPapers)
JEL-codes: C51 G10 G15 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007292

DOI: 10.1016/j.frl.2022.103553

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