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首页> 外文会议>International symposium on integrated uncertainty in knowledge modelling and decision making >Modeling and Forecasting Interdependence of the ASEAN-5 Stock Markets and the US, Japan and China
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Modeling and Forecasting Interdependence of the ASEAN-5 Stock Markets and the US, Japan and China

机译：东盟5国股票市场与美国，日本和中国的相互依存关系的建模和预测

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A benefit of portfolio diversification has been designated as evidence showing a low level of stock market interdependence. Therefore, this study aims at examining the interdependence of ASEAN-5 stock markets and the US, Japan, and China in order to increase portfolio diversification benefit among those countries. We proposed the time-varying copula-based VAR model to measure the interdependence and the transmission of stock price movement. Also, a forecasting Kendall's tau method was proposed to check robustness of the copula-based model. The main findings of this study revealed that the dynamic Kendall's tau between the US and Indonesia, the US and Malaysia displayed tiny values. It indicates existence of opportunities to diversify an internal tional portfolio. Moreover, the dynamic dependences also indicate that the interdependence between ASEAN-5 and China have been remaining limited. The results of IRFs showed that US had the strongest impact to ASEAN-5 while Indonesia and Malaysia had the lowest response to US, Japan, and China. In addition, the robustness check indicates that our prediction is precise.
机译：投资组合多元化的好处已被指定为表明股票市场相互依存度较低的证据。因此，本研究旨在检验ASEAN-5股票市场与美国，日本和中国之间的相互依存关系，以增加这些国家之间的投资组合多元化收益。我们提出了基于时变copula的VAR模型来衡量股票价格变动的相互依赖性和传递。此外，提出了一种预测Kendall tau方法，以检查基于copula的模型的鲁棒性。这项研究的主要发现表明，美国和印度尼西亚，美国和马来西亚之间的肯德尔动态tau值很小。它表明存在使内部传统投资组合多样化的机会。此外，动态的依赖关系还表明，东盟五国与中国之间的相互依存关系仍然有限。 IRF的结果表明，美国对ASEAN-5的影响最大，而印度尼西亚和马来西亚对美国，日本和中国的响应则最低。此外，健壮性检查表明我们的预测是准确的。

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