| Title: | Dependence between Croatian and European stock markets : a copula GARCH approach |
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| Authors: | ID Dajčman, Silvo (Author) |
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| Files: |  Zbornik_radova_Ekonomskog_fakulteta_u_Rijeci_2013_Dajcman_Dependence_between_Croatian_and_European_stock_markets–A_copula_GARCH_approach.pdf (1,58 MB)
MD5: 812C5BFB47432A8800CA0FD049F864A1
PID: 20.500.12556/dkum/082fb6f7-8aed-4752-b451-d9352df0ec01
 http://hrcak.srce.hr/112388
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| Language: | English |
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| Work type: | Scientific work |
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| Typology: | 1.01 - Original Scientific Article |
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| Organization: | EPF - Faculty of Business and Economics
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| Abstract: | The objective of this paper is to analyze dependence structure between the returns of Croatian and five European stock markets (Austrian, French, German, Italian, and the U.K.ʼs). We propose a copula GARCH approach, where the return series are modeled as univariate GARCH processes and the dependence structure between the return series is defined by a copula function. Four different copulas are fitted - a constant and conditional normal and symmetric Joe-Clayton (SJC) copulas - and estimated by a semi-parametric method. We found that the time-varying normal copula yields the best fit for CROBEX-CAC40, CROBEX-DAX, and CROBEX-FTSE-MIB stock indices pairs, while the time-varying SJC copula is the best fit for CROBEX-ATX and CROBEX-FTSE100. Further, we found that the probability of simultaneous extreme positive and negative returns in Croatian and other European stock markets can increase to 0.77 during turbulent times. The lower and upper tail dependence dynamics between Croatian and other European stock markets is similar in pattern, differing only in scale. The basic conclusion of the research is that the dependence between the stock markets of Croatia and five major European stock markets is dynamic and can be properly captured by either a dynamic normal or symmetrized Joe-Clayton copula GARCH models. |
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| Keywords: | stock market, stock companies, econometric models, Croatia, EU, dependence, copula GARCH |
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| Publication status: | Published |
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| Publication version: | Version of Record |
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| Year of publishing: | 2013 |
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| Number of pages: | str. 209-232 |
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| Numbering: | Letn. 31, št. 2 |
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| PID: | 20.500.12556/DKUM-66902  |
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| ISSN: | 1331-8004 |
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| UDC: | 336.761(497.5)(4-01) |
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| ISSN on article: | 1331-8004 |
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| COBISS.SI-ID: | 11615004 |
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| NUK URN: | URN:SI:UM:DK:DAEGJ9OA |
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| Publication date in DKUM: | 17.07.2017 |
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| Views: | 1353 |
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| Downloads: | 158 |
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| Metadata: |    |
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| Categories: | Misc.
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