An analysis of dependence between Central and Eastern European stock markets |
| |
| Affiliation: | 1. Department of Economics, Universidade de Santiago de Compostela, Avda. Xoán XXIII, S/N, 15782 Santiago de Compostela, Spain;2. Faculty of Management, IBS Hyderabad, a Constituent of IFHE (Deemed to be) University, 501203, India;3. Management Department, Politehnica University of Timisoara, P-ta. Victoriei, 2, 300006 Timisoara, Romania;4. CRIEF, University of Poitiers, rue Jean Carbonnier, 2, 86022 Poitiers, France;1. Department of Mathematics, Yonsei University, Seoul, 136-701, South Korea;2. Department of Mathematics, Mokpo National University, Muan-gun 534-729, South Korea;1. Fudan University, Shanghai, China;2. School of Economics, Finance and Marketing, RMIT University, Melbourne, Australia;3. Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University, Shanghai, China;4. University of New South Wales, Sydney, NSW, Australia;1. Department of Cardiology, National Cerebral and Cardiovascular Center, Osaka, Japan;2. Department of Clinical Laboratory Medicine, National Cerebral and Cardiovascular Center, Osaka, Japan;1. Department of Economics, Universidade de Santiago de Compostela, Spain;2. Post-Graduate Program in Management – PPGA, Unifacs, Brazil |
| |
| Abstract: | We examine the dependence structure between four Central and Eastern European (CEE) stock markets (Czech Republic, Hungary, Poland and Romania) using static and dynamic copula functions with different forms of tail dependence. We find evidence of positive dependence between all CEE stock markets, although this dependence is stronger between the Hungarian, Czech and Polish markets than between these markets and the Romanian market. We also find evidence of symmetric tail dependence, although not for the Hungarian and Czech markets. The dependence is time-varying and intensified after the onset of the recent global financial crisis. These results confirm that CEE stock markets are gradually coupling, a fact that has risk management implications for policymakers and investors. |
| |
| Keywords: | CEE stock markets Dependence structure Copulas Tail dependence |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
