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Echaust Krzysztof (Poznań University of Economics, Poland)
An application of extreme value copulas to measuring asymptotic dependence : the case of Polish Stock Exchange
Scientific Publications / University of Economics in Katowice. Mathematical, econometrical and computer methods In finance and insurance 2010, 2012, s. 50-68, tab., wykr.
Słowa kluczowe
Giełda, Kryzys finansowy, Metody statystyczne
Stock exchange, Financial crisis, Statistical methods
The aim of this study is to examine the asymptotic dependence in stock returns of ten companies included in WIG20. index during subprime mortgage crisis and after it. The traditional approach based on bivariate extreme value copula is used. Our findings confirm existence of the higher tail dependence in the crash period. Followed the interpretation of asymptotic dependence, it implies there is the higher probability that large negative returns occur concurrently. It explains why diversification strategies based on Markovitz Portfolio Theory using Pearson correlation coefficient are not able to prevent portfolio losses entirely. Only in the KGHM case the extreme dependence occurred less significant during crisis time. In the context of diversification it proves that in the high volatility market investors should turn into commodity markets which are less dependent on world financial markets.
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
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