Identyfikatory
Warianty tytułu
Modelowanie stóp zwrotu i wielkości obrotów za pomocą kopuł przełącznikowych
Języki publikacji
Abstrakty
The structure of links between realized volatility and trading volume can be reflected by regime switching copulas. The estimation by means of copula based regime switching models delivered results concerning the interdependencies between realized return volatility and trading volume of selected companies listed in ATX. A copula in the first regime was chosen as an asymmetric copula with positive lower and upper tail dependencies. Conversely Gaussian copula in the second regime is a symmetric copula and variables linked with it are tail independent. For all analyzed stocks the probability of being at the first regime appeared to be vitally greater than being at the second regime. This result suggest that there is considerable dependence between realized volatility and daily volume in extreme values. The results suggest that interdependencies between realized volatility and trading volume do not probably depend on the size but rather on the branch of a company.
Struktura zależności pomiędzy zmiennością zrealizowaną a wielkością obrotów może być oddana za pomocą kopuł przełącznikowych. Estymacja za pomocą kopuł przełącznikowych dostarczyła wyniki dotyczące zależności pomiędzy zmiennością zrealizowaną a wielkością obrotów wybranych spółek notowanych w indeksie ATX na Giełdzie Wiedeńskiej. W pierwszym reżimie została wybrana asymetryczna kopuła z dodatnimi zależnościami w ogonach. Natomiast w drugim reżimie została wybrana kopuła Gaussa, która jest symetryczna oraz łączy zmienne niezależne w ogonach. W przypadku wszystkich badanych spółek prawdopodobieństwo przebywania w pierwszym reżimie okazało się znacznie większe. Taki wynik sugeruje, iż na rynku istnieje zależność dla ekstremalnych wartości między zmiennością zrealizowaną a wielkością obrotów. Uzyskane wyniki sugerują, że na silę zależności nie ma prawdopodobnie wpływu wielkość spółki, a istotnym czynnikiem jest tu przypuszczalnie branża, do której spółka przynależy.
Wydawca
Czasopismo
Rocznik
Tom
Strony
45--64
Opis fizyczny
Bibliogr. 46 poz., tab., wykr.
Twórcy
autor
- AGH University of Science and Technology in Cracow, Department of Applications of Mathematics in Economics
autor
- AGH University of Science and Technology in Cracow, Department of Applications of Mathematics in Economics
autor
- University of Applied Sciences Joanneum in Graz, Department of Banking and Insurance
Bibliografia
- [1] Aas K., Czado C, Frigessi A., Bakken H., Pair-copula constructions of multiple dependence, "Insurance: Mathematics and Economics", 2007, vol. 44(2), pp. 182-98.
- [2] Ammermann A.H., Patterson D.M., The cross-sectional and cross-temporal universality of nonlinear serial dependencies: evidence from World Stock Indices and the Taiwan Stock Exchange, "Pacific-Basin Finance Journal" 2003, vol. 11, pp. 175-95.
- [3] Ang A., Bekaert G., International asset allocation with regime shifts, "Review of Financial Studies" 2002, vol. 15(4), pp. 1137-87.
- [4] Ang A., Bekaert G., Regime switches in interest rates, "Journal of Business and Economic Statistics" 2002, vol. 20, pp. 163-182.
- [5] Ang A., Chen J., Asymmetric correlations of equity portfolios, "Journal of Financial Economics" 2002, vol. 63(3), pp. 443-94.
- [6] Bandi E, Russel J., Separating market microstructure noise from volatility, "Journal of Financial Economics" 2006, vol. 79, pp. 655-692.
- [7] Bessler D.A., Yang J., The structure of interdependence in international stock markets, "Journal of International Money and Finance" 2003, vol. 22, pp.261-287.
- [8] Bollerslev T., Modelling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH model, "Review of Economics and Statistics" 1990, vol. 72(3), pp. 498-505.
- [9] Bollerslev T., Kretchmer C., Pigorsch C., Tauchen E., A discrete-time model for daily S&P 500 returns: jumps and leverage effects, Discussion paper, Duke University, 2005.
- [10] Bonilla C.A., Romero-Meza R., Hinich M.J., Episodic nonlinearity in Latin American Stock Market Indices, "Applied Economics Letters" 2006, vol. 13, pp. 195-9.
- [11] Booth G.G., Martikainen T., Tse Y, Price and volatility spillovers in Scandinavian stock markets, "Journal of Banking and Finance" 1997, vol. 21, pp.811-823.
- [12] Chollete L., Heinen A., Valdesogo A., Modeling International Financial Returns with Multivariate Regime Switching Copula, "Journal of Financial Econometrics" 2009, vol. 7(4), pp. 437-80.
- [13] Corsi F., A simple long memory model of realized volatility, Discussion paper, Manuscript, University of Southern Switzerland, 2003.
- [14] Engle R.F., Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models, "Journal of Business and Economic Statistics" 2002, vol. 20, pp. 339-350.
- [15] Eun C.S., Shim S., International transmission of stock market movements, "Journal of Finance and Quantitative Analysis" 1989, vol. 24(2), pp. 241-256.
- [16] Garcia R., Tsafak G., Dependence structure and extreme comovements in international equity and bond markets with portfolio diversification effects, Working Paper, EDHEC Risk Asset Management Research Centre, EDHEC, 2008.
- [17] Gilmore C.G., McManus G.M., Random walk and efficiency tests of Central European Equity Markets, "Managerial Finance" 2003, vol. 29, pp. 42-61.
- [18] Granger C.W.J., Investigating causal relations by econometric models and cross-spectral methods, "Econometrica" 1969, vol. 37 (3), pp. 424-438.
- [19] Guidolin M., Timmermann A., An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns, "Journal of Applied Econometrics" 2006a, vol. 21, pp. 1-22.
- [20] Guidolin M., Timmermann A., Term structure of risk under alternative econometric specifications, "Journal of Econometrics" 2006 b, vol. 131, pp.285-308.
- [21] Hamilton J.D., A new approach to the economic analysis of nonstationary time series and the business cycle, "Econometrica" 1989, vol. 57, pp. 357-384.
- [22] Hamilton J.D., Time Series Analysis, Princeton Press, 1994.
- [23] Hansen B.E., Autoregressive Conditional Density Estimation, "International Economic Review" 1994 b, vol. 35, pp. 705-730.
- [24] Hansen P.R., Lunde A., Realized variance and market micro structure noise, "Journal of Business and Economic Statistics" 2006, vol. 24 (2), pp. 129-161.
- [25] Hu L., Dependence Patterns Across Financial Markets, "Applied Financial Economics" 2006, vol. 16, pp. 717-729.
- [26] Jondeau E., Rockinger M., The Copula-GARCH Model of Conditional Dependences: An International Stock Market Application, "Journal of International Money and Finance" 2006, vol. 25(5), pp. 27-53.
- [27] Kim S.W, Rogers J.H., International stock price spillovers and market liberalization: Evidence from Korea, Japan, and the United States, "Journal of Empirical Finance" 1995, vol. 2, pp. 117-133.
- [28] Klein I., Kock C., Tinkl F., Spatial-serial dependency in multivariate GARCH models and dynamic copulas: a simulation study, „Ekonomia Menedżerska" 2010, no 7, pp. 43-62.
- [29] Lim K.P., Hinich M.J., Cross-temporal universality of nonlinear dependencies in Asian Stock Markets, "Economics Bulletin" 2005, vol. 7, pp. 1-6.
- [30] Lim K.P., Hinich M.J., Liew K.S., Episodic non-linearity and non-stationarity in ASEAN exchange rates returns series, "Labuan Bulletin of International Business and Finance" 2003, vol. 1, pp. 79-93.
- [31] Lin W., Engle R., Ito T., Do bulls and bears move across borders?, International transmission of stock returns and volatility, "Review of Financial Studies" 1994, vol. 7(3), pp. 507-538.
- [32] Longin F., Solnik B., Extreme Correlation of International Equity Markets, "Journal of Finance" 2001, vol. 56(2), pp. 649-76.
- [33] Ng A., Volatility spillover effect from Japan and the US to the Pacific-Basin, "Journal of International Money and Finance" 2000, vol. 19, pp. 207-233.
- [34] Nivet J.F., Stock markets in transition: the Warsaw experiment, "Economics of Transition" 1997, vol. 5, pp. 171-83.
- [35] Okimoto T., New Evidence of Asymmetric Dependence Structures in International Equity Markets, "Journal of Financial and Quantitative Analysis" 2008, vol. 43(3), pp. 787-815.
- [36] Patton A., On the out-of-sample importance of skewness and asymmetric dependence for asset allocation, "Journal of Financial Econometrics" 2004, vol. 2(1), pp. 130-168.
- [37] Patton A., Estimation of multivariate models for time series of possibly different lengths, "Journal of Applied Econometrics" 2006a vol. 21(2), pp. 147-173.
- [38] Patton A., Modelling asymmetric exchange rate dependence, "International Economic Review" 2006b, vol. 47(2), pp. 527-556.
- [39] Pelletier D., Regime switching for dynamic correlation, "Journal of Econometrics" 2006, vol. 131, pp. 445-473.
- [40] Ramchand L., Susmel R., Volatility and cross correlation across major stock markets, "Journal of Empirical Finance" 1998, vol. 17, pp. 581-610.
- [41] Rodriguez J., Measuring financial contagion: A copula approach, "Journal of Empirical Finance" 2007, vol. 14, pp. 401-423.
- [42] Sharkasi A., Ruskin H.J., Crane M., Interrelationships among international stock market indices: Europe, Asia and the Americas, "International Journal of Theoretical and Applied Finance" 2005, vol. 8(5), pp. 603-622.
- [43] Schotman P.C, Zalewska A., Non-synchronous trading and testing for market integration in Central European emerging markets, "Journal of Empirical Finance" 2006, 13, pp. 462-494.
- [44] Sklar A., Fonctions de répartition à n dimensions et leurs marge, Publications de l’lnstitut de Statistique de l’Universite de Paris, vol. 8, pp. 229-231.
- [45] Todea A., Zaicas-Lenciu A., Episodic dependencies in Central and Eastern Europe stock markets, "Applied Economics Letters" 2008, vol. 15, pp. 1123-1126.
- [46] Worthington A.C., Higgs H., Random walks and market efficiency in European equity markets, "Global Journal of Finance and Economics" 2004, vol. 1, pp. 59-78.
Typ dokumentu
Bibliografia
Identyfikator YADDA
bwmeta1.element.baztech-4eebc20c-7184-43ec-bba5-4d1939d78a4c