Template-Type: ReDIF-Paper 1.0
Author-Name: Cathy Ning
Author-X-Name-First: Cathy
Author-X-Name-Last: Ning
Author-Email: qning@ryerson.ca 
Author-Workplace-Name: Department of Economics, Ryerson University, Toronto, Canada
Title: Extreme Dependence in International Stock Markets
Abstract: This paper investigates the structure and degree of extreme dependence in international equity markets using carefully selected tools from the theory of copulas. We examine both the static and dynamic dependence via unconditional and conditional copulas. We find significant asymmetric tail dependence in equity markets, with the
overall larger lower tail dependence than upper tail dependence. Moreover, in Europe and East Asia but not in North America, the extreme dependence is time-varying in both its structure and degree. Our results also indicate a higher intra-continental than
inter-continental tail dependence. Our findings have important implications in global risk management strategies.
Classification-JEL: C14, C51, G01, G15, G32
Keywords: Copulas; Tail dependence; Time varying dependence; International financial markets; Risk diversification.
Length: 20 pages
Creation-Date: 2009-11
Number: 008
File-URL: http://economics.ryerson.ca/workingpapers/wp008.pdf
File-Format: Application/pdf
Handle: RePEc:rye:wpaper:wp008