Time-Varying Copula Modelling Between Malaysia and Major Stock Markets
Nurul Hanis Aminuddin Jafry,
Ruzanna Ab Razak and
Additional contact information
Nurul Hanis Aminuddin Jafry: School of Mathematical Sciences, Faculty of Science and Technology, Universiti Kebangsaan Malaysia, 43600 Bangi, Selangor, Malaysia
Ruzanna Ab Razak: Quantitative Methods Unit, Faculty of Management, Multimedia University, 63100 Cyberjaya, Selangor, Malaysia
Noriszura Ismail*: School of Mathematical Sciences, Faculty of Science and Technology, Universiti Kebangsaan Malaysia, 43600 Bangi, Selangor, Malaysia
The Journal of Social Sciences Research, 2018, 646-652 Special Issue: 6
Studies on dependence between stock markets are important because of their implications on the process of decision-making in investment. Many previous studies measure the dependence between markets using static copula. However, in recent years, time-varying copula has been used as an alternative for measuring dependence due to its capability of capturing time-varying dependence between markets. This study uses both static and time-varying copulas to measure the dependence structure between Malaysia and major stock markets (US, UK and Japan) based on the sample data from year 2007 Q1 until year 2017 Q3. The results reveal that the best model for all pairs of indices is the time-varying SJC copula, which also reveals that the Malaysia-US pair has the weakest dependence structure compared to other pairs. In terms of lower and upper tails, the Malaysia-UK and the Malaysia-Japan pairs have the strongest dependence structure respectively. Evidence from this research suggests that diversifications involving Malaysia and US stock markets are not effective.
Keywords: Time-varying copula; Dependence; Malaysia stock market; Diversifications (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:arp:tjssrr:2018:p:646-652
Access Statistics for this article
The Journal of Social Sciences Research is currently edited by Dr. Paola Magnano
More articles in The Journal of Social Sciences Research from Academic Research Publishing Group Rahim Yar Khan 64200, Punjab, Pakistan.
Bibliographic data for series maintained by Managing Editor ().