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首页> 外文期刊>International Review of Financial Analysis >Dependence structure between the BRICS foreign exchange and stock markets using the dependence-switching copula approach
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Dependence structure between the BRICS foreign exchange and stock markets using the dependence-switching copula approach

机译：金砖国家外汇市场与股票市场之间的依存关系，采用依存转换关联法

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摘要

We examine the dependence structure between the BRICS stock and foreign exchange markets using a dependence-switching copula model. In particular, we examine dependence and tail dependence for four different market conditions, namely rising stock-appreciating currency, falling stock-depreciating currency, rising stock-depreciating currency and falling stock-appreciating currency. Our results indicate that dependence and tail dependence in the four market conditions are symmetric for all countries except Russia during negative correlation regimes. During positive correlation regimes, dependencies generally asymmetric but tail dependence is symmetric for all countries. The results further suggest the dominance of return chasing effects for India, Brazil and South Africa, and portfolio rebalancing effects for China and Russia most of the time. We further show that the co-dependencies computed using R-vine copulas are best suited to compute the portfolio VaR during the considered time period.
机译：我们使用依赖关系转换copula模型来检验金砖国家股票与外汇市场之间的依赖关系结构。特别是，我们考察了四种不同市场条件下的依赖性和尾部依赖性，即升值通货的货币，跌价的存货的货币，跌价的存货的货币和跌价的存货的货币。我们的结果表明，在负相关制度下，除了俄罗斯以外，所有国家在四个市场条件下的依赖和尾部依赖都是对称的。在正相关制度中，依赖关系通常是不对称的，但尾部依赖关系对所有国家都是对称的。结果进一步表明，大多数时候，印度，巴西和南非的追逐收益效应占主导地位，而中国和俄罗斯的投资组合再平衡效应占主导地位。我们进一步表明，使用R-vine copulas计算的协相关性最适合在所考虑的时间段内计算投资组合VaR。

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