Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5089464 | Journal of Banking & Finance | 2013 | 14 Pages |
Abstract
⺠We examine the dependence structure between stock and currency markets. ⺠Tail dependence is asymmetric for most countries in a negative correlation regime. ⺠Tail dependence is symmetric for all countries in a positive correlation regime. ⺠Exchange rate exposure effects dominate for most countries on most occasions.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Yi-Chiuan Wang, Jyh-Lin Wu, Yi-Hao Lai,