EconPapers    
Economics at your fingertips  
 

Univariate dependence among sectors in Chinese stock market and systemic risk implication

Jing Hao and Feng He

Physica A: Statistical Mechanics and its Applications, 2018, vol. 510, issue C, 355-364

Abstract: In the period of financial crisis, financial assets clustered and dropped together. However, such phenomenon can hardly be predicted before it really happened. While traditional test methods can only detect pairwise relationship between two variables, we applied empirical copula to measure multi-assets univariate dependence. The test method is applied in China economy with manufactory, finance and real estate sector from 2000 to 2014. Results suggests that there exists univariate dependent relationship, although pairwise correlation had not been detected between each pair. Further, we construct dependence structure diachronically with these three sectors in stock market to generate an early warning signal for systemic risk.

Keywords: Univariate dependence; Empirical copulas; Systemic risk; Early warning signal (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437118306940
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

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:phsmap:v:510:y:2018:i:c:p:355-364

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2018-11-10
Handle: RePEc:eee:phsmap:v:510:y:2018:i:c:p:355-364