Asymptotic Dependence Modelling of the BRICS Stock Markets

Caston Sigauke, Rosinah Mukhodobwane, Wilbert Chagwiza and Winston Garira
Additional contact information
Caston Sigauke: Department of Mathematical and Computational Sciences, University of Venda, Private Bag X5050, Thohoyandou 0950, South Africa
Rosinah Mukhodobwane: Department of Mathematical and Computational Sciences, University of Venda, Private Bag X5050, Thohoyandou 0950, South Africa
Wilbert Chagwiza: Department of Mathematical and Computational Sciences, University of Venda, Private Bag X5050, Thohoyandou 0950, South Africa
Winston Garira: Department of Mathematical and Computational Sciences, University of Venda, Private Bag X5050, Thohoyandou 0950, South Africa

IJFS, 2022, vol. 10, issue 3, 1-32

Abstract: With the use of empirical data, this paper focuses on solving financial and investment issues involving extremal dependence of 10 pairwise combinations of the 5 BRICS (Brazil, Russia, India, China, and South Africa) stock markets. Daily closing equity indices from 5 January 2010 to 6 August 2018 are used in the study. Unlike previous literature, we use bivariate point process and conditional multivariate extreme value models to investigate the extremal dependence of the stock market returns. However, it is observed that the point process was able to model many more extreme observations or exceedances that contribute to the likelihood estimation. It gives more information than the threshold excess method of the CMEV model. This study shows varying levels of low extremal dependence structure whose outcomes are highly beneficial to investors, portfolio managers and other market participants interested in maximising investment returns and financial gains.

Keywords: conditional extreme value model; equity markets; equity risk; point process; risk management (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/2227-7072/10/3/58/pdf (application/pdf)
https://www.mdpi.com/2227-7072/10/3/58/ (text/html)

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:gam:jijfss:v:10:y:2022:i:3:p:58-:d:868806

Access Statistics for this article

IJFS is currently edited by Ms. Hannah Lu

More articles in IJFS from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().