Modeling dependence structures among international stock markets: Evidence from hierarchical Archimedean copulas
作者： Lu Yang , Xiao Jing Cai , Mengling Li , Shigeyuki Hamori , None
DOI: 10.1016/J.ECONMOD.2015.08.017
关键词:
摘要: Abstract This study investigates dependence structures among international stock markets, including developed, emerging, and frontier using the hierarchical Archimedean copula model. Empirical results indicate that emerging markets show strongest with European markets. Frontier weakest other market. After global financial crisis, lower structure has changed. Negative news have a larger impact on degree of than positive news. Contagion effect is observed in both crisis EU debt crisis.
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