This study contributes a rich set of quantitative methodologies including a nonparametric approach(Chi-plots and K-plots)as well as copulas(traditional and timevarying with Student’s t-copulas)to the existing literat...This study contributes a rich set of quantitative methodologies including a nonparametric approach(Chi-plots and K-plots)as well as copulas(traditional and timevarying with Student’s t-copulas)to the existing literature in terms of determining the dependence structure in ASEAN stock markets.Drawing on the emerging ASEAN equity returns of six countries from January 2001 to December 2017,we found that Student’s t-copulas under time-varying approach is the most appropriate approach to explain these co-movements.Among all research return pairs,the dependence between Vietnam and other ASEAN equity indices has the lowest value.Meanwhile,all couples show left-and right-tail dependence by each pair for pre-and postfinancial shocks.Hence,diversification across these pairs of equity markets from ASEAN is still adequate for international investors,though it might trigger contagion risks.展开更多
基金This research is fully funded by the University of Economics,Ho Chi Minh City,Vietnam.
文摘This study contributes a rich set of quantitative methodologies including a nonparametric approach(Chi-plots and K-plots)as well as copulas(traditional and timevarying with Student’s t-copulas)to the existing literature in terms of determining the dependence structure in ASEAN stock markets.Drawing on the emerging ASEAN equity returns of six countries from January 2001 to December 2017,we found that Student’s t-copulas under time-varying approach is the most appropriate approach to explain these co-movements.Among all research return pairs,the dependence between Vietnam and other ASEAN equity indices has the lowest value.Meanwhile,all couples show left-and right-tail dependence by each pair for pre-and postfinancial shocks.Hence,diversification across these pairs of equity markets from ASEAN is still adequate for international investors,though it might trigger contagion risks.
