Tail dependence between Central and Eastern European and major European stock markets : a copula approach

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Naslov:	Tail dependence between Central and Eastern European and major European stock markets : a copula approach
Avtorji:	ID Dajčman, Silvo (Avtor)
Datoteke:	http://dx.doi.org/10.1080/13504851.2013.829185
Jezik:	Angleški jezik
Vrsta gradiva:	Delo ni kategorizirano
Tipologija:	1.01 - Izvirni znanstveni članek
Organizacija:	EPF - Ekonomsko-poslovna fakulteta
Opis:	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.
Ključne besede:	borze, borzništvo, finančna kriza, EU
Leto izida:	2013
Št. strani:	str. 1567-1573
Številčenje:	Vol. 20, iss. 17
PID:	20.500.12556/DKUM-49854
UDK:	336.76
COBISS.SI-ID:	11484956
DOI:	10.1080/13504851.2013.829185
ISSN pri članku:	1350-4851
NUK URN:	URN:SI:UM:DK:P0YVKHYS
Datum objave v DKUM:	10.07.2015
Število ogledov:	1328
Število prenosov:	38
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Področja:	Ostalo
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