کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7383324 | 1480431 | 2018 | 27 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Quantile dependence between the stock, bond and foreign exchange markets - Evidence from the UK
ترجمه فارسی عنوان
وابستگی کوانتومی بین سهام، اوراق قرضه و بازارهای ارز خارجی - شواهد از انگلستان
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
In the wake of Brexit, this paper aims to provide a measure for the quantile dependence amongst different financial assets - bond, stock, and currency - within the UK market and their cross-border linkages with the European equity market. We implement a nonparametric estimation method for both the tail and quantile dependence parameters on weekly data over the period 1989-2016 using copula. Our results suggest that the contagion effects between stock and currency markets are limited, even under extreme fluctuations. We also find a weak comovement between currency and bond markets, however, evidence of asymmetry is found in the dependence structure, possibly due to the 'risk-reward' scenario of international investors. Finally, our results indicate a weak dependence between stock returns and bond yields, possibly due to the low-yielding gilt and the thirst for income, pushing investors to diversify globally into other financial markets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 69, August 2018, Pages 286-296
Journal: The Quarterly Review of Economics and Finance - Volume 69, August 2018, Pages 286-296
نویسندگان
Hamid Raza, Weiou Wu,