Studying on stock indexes return’s dependence：Application of dynamic copula method

• Main Authors: Shih-Hung Chan, 詹士弘
• Other Authors: Chou-Wen Wang
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/21320018510053312379

碩士 === 國立中山大學 === 財務管理學系研究所 === 100 === In this paper, we study on the stock indexes return’s dependence structure of the U.S. versus other G5 members during the 2008 subprime mortgage financial crisis. The sample series are weekly returns of the MSCI stock price indexes from 2003 to 2011. The model structure is combined with marginal model and copula model. We model the marginal distributions of our returns using the univariate skewed Student t AR（1）-GARCH model of Hansen（1994）, and we model the time-varying copula of Patton（2006）to measure the dependence structure between stock indexes returns. By analyzing the time series behavior of the dynamic copula parameters, we find that,（1）the dependence of stock indexes returns increased significantly between U.S. and other G5 members in early subprime mortgage financial crisis, which means the dependence structure has contagion effect.（2）Except the dependence structure between U.S. and Japan, the other dependence structure between U.S. and other G5 members in later subprime mortgage financial crisis have the phenomenon of interdependence, and their average tail dependence increased significantly.（3）By the above, international portfolio constructed by correlation coefficient will failed to diversify the downside risk and the systematic risk will be increased in financial crisis period, which is similar with the 2008 subprime mortgage financial crisis. Therefore, the construction of an international portfolio must consider the asymmetric dependence structure between the stock indexes returns.