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Title:
Tail dependence between Central and Eastern European and major European stock markets : a copula approach
Authors:
ID
Dajčman, Silvo
(
Author
)
Files:
http://dx.doi.org/10.1080/13504851.2013.829185
Language:
English
Work type:
Not categorized
Typology:
1.01 - Original Scientific Article
Organization:
EPF - Faculty of Business and Economics
Abstract:
This article analyses dynamic tail dependence between the returns of the three largest Central and Eastern European (CEE) stock markets (Hungary, Czech Republic and Poland) and two major Eurozone stock markets (Germany and France). Tail dependence is modelled by a constant and dynamic 'symmetrized Joe-Clayton' (SJC) copula assuming GARCH stock market return processes. The results of the dynamic SJC copula model show that the dependence between pair-wise observed stock markets is time-varying and asymmetric with lower tail dependence mostly exceeding upper tail dependence. The results of the article imply that advantages of international portfolio diversification are reduced in downturns.
Keywords:
borze
,
borzništvo
,
finančna kriza
,
EU
Year of publishing:
2013
Number of pages:
str. 1567-1573
Numbering:
Vol. 20, iss. 17
PID:
20.500.12556/DKUM-49854
UDC:
336.76
ISSN on article:
1350-4851
COBISS.SI-ID:
11484956
DOI:
10.1080/13504851.2013.829185
NUK URN:
URN:SI:UM:DK:P0YVKHYS
Publication date in DKUM:
10.07.2015
Views:
1332
Downloads:
38
Metadata:
Categories:
Misc.
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Record is a part of a journal
Title:
Applied economics letters
Shortened title:
Appl. econ. lett.
Publisher:
Chapman & Hall
ISSN:
1350-4851
COBISS.SI-ID:
934165
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