Authors: Nurul Hanis Aminuddin Jafry ; Ruzanna Ab Razak ; Noriszura Ismail
| Autor: | Nurul Hanis Aminuddin Jafry, Noriszura Ismail, Ruzanna Ab Razak |
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| Rok vydání: | 2018 |
| Předmět: | |
| Zdroj: | The Journal of Social Sciences Research. :646-652 |
| ISSN: | 2411-9458 2413-6670 |
| DOI: | 10.32861/jssr.spi6.646.652 |
| Popis: | Studies on dependence between stock markets are important because of their implications on the process of decision-making in investment. Many previous studies measure the dependence between markets using static copula. However, in recent years, time-varying copula has been used as an alternative for measuring dependence due to its capability of capturing time-varying dependence between markets. This study uses both static and time-varying copulas to measure the dependence structure between Malaysia and major stock markets (US, UK and Japan) based on the sample data from year 2007 Q1 until year 2017 Q3. The results reveal that the best model for all pairs of indices is the time-varying SJC copula, which also reveals that the Malaysia-US pair has the weakest dependence structure compared to other pairs. In terms of lower and upper tails, the Malaysia-UK and the Malaysia-Japan pairs have the strongest dependence structure respectively. Evidence from this research suggests that diversifications involving Malaysia and US stock markets are not effective. |
| Databáze: | OpenAIRE |
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