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Interdependence between Greece and other European stock markets: A comparison of wavelet and VMD copula, and the portfolio implications

Shahzad, Syed Jawad Hussain and Kumar, Ronald R. and Ali, Sajid and Amir, Saba (2016) Interdependence between Greece and other European stock markets: A comparison of wavelet and VMD copula, and the portfolio implications. Physica A: Statistical Mechanics and its Applications, 457 . pp. 8-33. ISSN 0378-4371

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    Abstract

    The interdependence of Greece and other European stock markets and the subsequent portfolio implications are examined in wavelet and variational mode decomposition domain. In applying the decomposition techniques, we analyze the structural properties of data and distinguish between short and long term dynamics of stock market returns. First, the GARCH-type models are fitted to obtain the standardized residuals. Next, different copula functions are evaluated, and based on the conventional information criteria and time varying parameter, Joe–Clayton copula is chosen to model the tail dependence between the stock markets. The short-run lower tail dependence time paths show a sudden increase in comovement during the global financial crises. The results of the long-run dependence suggest that European stock markets have higher interdependence with Greece stock market. Individual country’s Value at Risk (VaR) separates the countries into two distinct groups. Finally, the two-asset portfolio VaR measures provide potential markets for Greece stock market investment diversification.

    Item Type: Journal Article
    Additional Information: The article is published. Please see the link and attached.
    Subjects: H Social Sciences > HA Statistics
    H Social Sciences > HG Finance
    Divisions: Faculty of Business and Economics (FBE) > School of Accounting and Finance
    Faculty of Business and Economics (FBE)
    Depositing User: Ronald Kumar
    Date Deposited: 24 Mar 2017 15:21
    Last Modified: 24 Mar 2017 15:21
    URI: http://repository.usp.ac.fj/id/eprint/9711
    UNSPECIFIED

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