publication . Other literature type . Preprint . Article . 2016

Measuring and Testing Tail Dependence and Contagion Risk Between Major Stock Markets

EnDer Su;
  • Published: 24 May 2016
  • Publisher: Springer Science and Business Media LLC
In this paper, three copula GARCH models i.e. Gaussian, Student-t, and Clayton are used to estimate and test the tail dependence measured by Kendall’s tau between six stock indices. Since the contagion risk spreads from large markets to small markets, the tail dependence is studied for smaller Taiwanese and South Korean stock markets, i.e. Taiex and Kospi against four larger stock markets, i.e. S&P500, Nikkei, MSCI China, and MSCI Europe. The vector autoregression result indicates that S&P500 and MSCI China indeed impact mostly and significantly to the other four stock markets. However, the tail dependence of both Taiex and Kospi against S&P500 and MSCI Chia are...
free text keywords: contagion risk, tail dependence, copula GARCH, threshold test, jel:C0, jel:C13, Economics, Econometrics and Finance (miscellaneous), Computer Science Applications, Debt, media_common.quotation_subject, media_common, Tail dependence, Contagion risk, Econometrics, Economics, Jump, Copula (linguistics), Vector autoregression, Subprime crisis, Financial economics, China
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publication . Other literature type . Preprint . Article . 2016

Measuring and Testing Tail Dependence and Contagion Risk Between Major Stock Markets

EnDer Su;