کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
963483 | 930357 | 2012 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Copula model dependency between oil prices and stock markets: Evidence from China and Vietnam
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
⺠This paper proposes the use of two models: nonparametric chi-Kendall plots and semi parametric copula to capture the dependence structure between China and Vietnam markets. ⺠We study and examine how both models capture the volatility in oil price changes and stock markets between the two countries. ⺠The empirical results suggest left tail dependence between international oil price and Vietnam's stock market; this implies both are likely to go down together. ⺠There is no evidence of tail dependence between China's stock market and international oil price.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 22, Issue 4, October 2012, Pages 758-773
Journal: Journal of International Financial Markets, Institutions and Money - Volume 22, Issue 4, October 2012, Pages 758-773
نویسندگان
Cuong C. Nguyen, M. Ishaq Bhatti,