Research Article
Year 2018,
Volume: 8 Issue: 2, 230 - 242, 31.12.2018
Abstract
Bu çalışma uluslararası borsalar arasındaki bağımlılığı
nispeten yeni fakat hızla gelişen bir yaklaşım olan kapulaları kullanarak
incelemektedir; bu da hem bağımlılık yapısının hem de bağımlılığın derecesini
incelememize olanak sağlamaktadır. Kapulanın önemi marjinal dağılımın
biçimine bakmadan, rastgele değişkenler arasındaki bağımlılık yapılarını
modellemesi ve yakalamasıdır. Korelasyon ölçüleri bağımlılığın derecesini
yansıtır ancak bağımlılığın yapısını ve şeklini yansıtmaz. Kapula modelleri
aynı dağılım ailesine ait olmayan ve heterojen olan marjinal dağılımlara dayalı
olarak çok değişkenli dağılımlara izin verirler. Böylelikle araştırmacı sadece mevcut
çok değişkenli dağılımları göz önünde bulundurmaktan kurtulur. Bu
çalışmanın amacı kapulaların avantajlarını kullanarak, dünyada en çok işlem hacmine
sahip FTSE-100, S&P-500, Nasdaq, Nikkei-225 gibi küresel borsa indeksleri arasındaki
bağımlılığı kapula ile araştırmak ve indeksler arasındaki bağımlılığı uygun kapula ile
modellemektir.
References
- 1. Abbara O & Zevallos M (2014). Assessing stock market dependence and contagion, Quantitative Finance, 14(9), 1627-1641
- 2. Ane T & Labidi C (2006). Spillover effects and conditional dependence. International Review of Economics and Finance, 15, 417-442
- 3. Bekaert G, Harvey C R & Ng A (2005). Market integration and contagion. Journal of Business, 78, 39-69
- 4. Borovkova S (2011). Risk management with tail copulas for emerging market portfolios. International Journal of Economics and Finance Studies,3(1), 48-61
- 5. Dudley E & Nimalendran M (2011). Margins and hedge fund contagion, J. Finan. Quant. Anal. 46,1227–1257
- 6. Forbes K J & Rigobon R (2002). No contagion, only interdependence: Measuring stock market co-movements. Journal of Finance, 57, 2223-2261
- 7. Frees E W, Valdez E A (1998). Understanding Relationships Using Copulas. North American Actuarial Journal, 2(1): 1-25
- 8. Joe H (2014). Dependence Modeling with Copulas, CRC Monographs on Statistics &Applied Probability
- 9. Jondeau É & Rockinger M (2006). The copula-GARCH model of conditional dependencies: an international stock market application, J. Internat. Money, Finance 25, 827–853
- 10. Kang B U, In F, Kim G & Kim Y S (2010). A longer look at the asymmetric dependence between hedge funds and the equity market, J. Finan. Quant. Anal. 45, 763–789
- 11. Longin F & Solnik B (2001). Extreme correlation of international equity market. Journal of Finance, 56, 649-676
- 12. Malevergne Y & Sornette D (2003). Testing the Gaussian Copula Hypothesis for Financial Assets Dependencies. Quantitative Finance, 14:231-250
- 13. Nelsen R B (2006). An Introduction to Copulas, Second Edition, Springer Series in Statistics, New York
- 14. Peng Y & Ng W L (2012). Analysing financial contagion and asymmetric market dependence with volatility indices via copulas. Annals of Finance, 8(1), 49-74
- 15. Poon S H, Rockinger M & Tawn J (2004). Extreme value dependence in financial markets: Diagnostics, models, and financial implications. Review of Financial Studies, 17, 581-610
Year 2018,
Volume: 8 Issue: 2, 230 - 242, 31.12.2018
Abstract
References
- 1. Abbara O & Zevallos M (2014). Assessing stock market dependence and contagion, Quantitative Finance, 14(9), 1627-1641
- 2. Ane T & Labidi C (2006). Spillover effects and conditional dependence. International Review of Economics and Finance, 15, 417-442
- 3. Bekaert G, Harvey C R & Ng A (2005). Market integration and contagion. Journal of Business, 78, 39-69
- 4. Borovkova S (2011). Risk management with tail copulas for emerging market portfolios. International Journal of Economics and Finance Studies,3(1), 48-61
- 5. Dudley E & Nimalendran M (2011). Margins and hedge fund contagion, J. Finan. Quant. Anal. 46,1227–1257
- 6. Forbes K J & Rigobon R (2002). No contagion, only interdependence: Measuring stock market co-movements. Journal of Finance, 57, 2223-2261
- 7. Frees E W, Valdez E A (1998). Understanding Relationships Using Copulas. North American Actuarial Journal, 2(1): 1-25
- 8. Joe H (2014). Dependence Modeling with Copulas, CRC Monographs on Statistics &Applied Probability
- 9. Jondeau É & Rockinger M (2006). The copula-GARCH model of conditional dependencies: an international stock market application, J. Internat. Money, Finance 25, 827–853
- 10. Kang B U, In F, Kim G & Kim Y S (2010). A longer look at the asymmetric dependence between hedge funds and the equity market, J. Finan. Quant. Anal. 45, 763–789
- 11. Longin F & Solnik B (2001). Extreme correlation of international equity market. Journal of Finance, 56, 649-676
- 12. Malevergne Y & Sornette D (2003). Testing the Gaussian Copula Hypothesis for Financial Assets Dependencies. Quantitative Finance, 14:231-250
- 13. Nelsen R B (2006). An Introduction to Copulas, Second Edition, Springer Series in Statistics, New York
- 14. Peng Y & Ng W L (2012). Analysing financial contagion and asymmetric market dependence with volatility indices via copulas. Annals of Finance, 8(1), 49-74
- 15. Poon S H, Rockinger M & Tawn J (2004). Extreme value dependence in financial markets: Diagnostics, models, and financial implications. Review of Financial Studies, 17, 581-610
There are 15 citations in total.
Details
| Primary Language | Turkish |
|---|---|
| Journal Section | Review Articles |
| Authors | |
| Publication Date | December 31, 2018 |
| Submission Date | October 3, 2018 |
| Published in Issue | Year 2018 Volume: 8 Issue: 2 |