A Study on the Comovement Among Developed Market and Emerged Market During Financial Crisis using Copula study

Autor:	I-Chieh Chou, 周宜潔
Rok vydání:	2013
Druh dokumentu:	學位論文 ; thesis
Popis:	101 This paper investigates the dependences between BRICs and the other developed stock markets During Financial Crisis, using a mixture copula specification. The result show that most of the countries exhibits a normal copulas pattern with the other countries. However, the correlation between BRICS and the developed counties are different. China has a low correlation coefficient with the developed countries, and Russian has a low correlation coefficient with the developed countries, but higher than China. Then Brazil and India have medium correlation coefficient for the developed countries. Under extreme events correlation coefficients showed low correlation for China, but the other BRICs correlation coefficients showed medium correlation. That the Chinese stock market is the target market for global stock, then Russian, Birazil, and India are opposite.
Databáze:	Networked Digital Library of Theses & Dissertations
Externí odkaz:	http://ndltd.ncl.edu.tw/handle/hdajq4 Zobrazit plný text záznamu