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
基金中国科学院战略性先导科技专项项目（批准号：XDB03020200）和国家自然科学基金项目（批准号：41272215、41272196、41590861和41661134011）共同资助致谢美国俄勒冈州立大学（OSU）EricKirby副教授在坡度一面积对数图、Chi-plot和裂点溯源迁移模型等方面给予一定指导以色列班固利恩大学（Ben-Gurion University of the Negev）Liran Goren博士在线性非稳态水力侵蚀方程求解方面给予很大帮助+1 种基金匿名审稿专家提出的宝贵意见对于本文的提高大有裨益编辑杨美芳老师对文章的完善付出辛勤劳动.在此一并致以诚挚的谢意.
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.
