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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
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