Modeling dependence structures among international stock markets: Evidence from hierarchical Archimedean copulas

Lu Yang, Xiao Jing Cai, Mengling Li and Shigeyuki Hamori

Economic Modelling, 2015, vol. 51, issue C, 308-314

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.

Keywords: Dependence structure; HAC-MGARCH; International stock market; Financial crisis (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999315002291
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:51:y:2015:i:c:p:308-314

DOI: 10.1016/j.econmod.2015.08.017

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu ().