Linkages between European national stock markets during trading and non-trading hours

Małgorzata Doman , Ryszard Doman

Abstract

The paper documents differences in the structures of dependence between stock markets during trading and non-trading hours. We study this issue on the basis of analysis of the dynamic dependence between five selected European stock markets during the period from 1997 to the beginning of 2013. The markets are represented by their main stock indices. The analysis is performed by means of Markov-switching copula models with three regimes. The adopted approach enables us to avoid limiting ourselves to elliptical distributions for the bivariate returns, and allows to assess dependence in tails of the bivariate distributions. Moreover, due to the use of copulas with Markov-switching there is no necessity to make any a priori assumptions concerning the time or cause of a change in the dependence structure.
Author Małgorzata Doman (WIiGE / KMS)
Małgorzata Doman,,
- Department of Applied Mathematics
, Ryszard Doman - Adam Mickiewicz University (UAM)
Ryszard Doman,,
-
Journal seriesRevista Espanola de Financiacion y Contabilidad-Spanish Journal of Financeand Accounting, ISSN 0210-2412, (A 15 pkt)
Issue year2016
Vol45
No3
Pages267-299
Publication size in sheets1.6
Keywords in EnglishStock market, linkages, trading hours, copula, dependence measures, Markov- switching
ASJC Classification1402 Accounting; 2002 Economics and Econometrics; 2003 Finance
DOIDOI:10.1080/02102412.2016.1164458
URL https://www.tandfonline.com/doi/full/10.1080/02102412.2016.1164458
Languageen angielski
Score (nominal)15
Score sourcejournalList
ScoreMinisterial score = 15.0, 19-12-2019, ArticleFromJournal
Ministerial score (2013-2016) = 15.0, 19-12-2019, ArticleFromJournal
Publication indicators WoS Citations = 0; Scopus SNIP (Source Normalised Impact per Paper): 2016 = 0.344; WoS Impact Factor: 2016 = 0.55 (2) - 2016=0.452 (5)
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