Dependence analysis in BRICS stock markets : a vine copula approach
- Authors: Tang, Liang
- Date: 2019
- Subjects: Stock exchanges - BRIC countries , Stocks - Prices - BRIC countries , Dependence (Statistics) , Copulas (Mathematical statistics)
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/402948 , uj:33743
- Description: Abstract : This study makes use of three types of vine copulas, c-vine, d-vine and r-vine copulas, to investigate the dependence structure in the BRICS stock markets using daily stock market price data spanning from 28-12-2000 to 10-08-2018. To account for the dynamic effects in dependence measures, the study divides the sample period into three sub-samples: the pre-crisis period (from 28-12- 2000 to 31-01-2007), the crisis period (from 01-02-2007 to 29-12-2011), and the post-crisis period (from 04-01-2012 to 10-08-2018). The price data is first converted to return series and filtered using different ARIMA-GARCH models in order to remove the autocorrelation and heteroscedasticity effects. During this process, it was found that most of the return series exhibited leverage effects, an indication that bad news in the stock markets leads to larger spikes in volatility than good news does. To understand the implication of this effect on the dependence structure of stock markets in the BRICS countries, the c-vine, d-vine and r-vine copulas are used. The use of vine copulas has some significant advantages over traditional copulas as they model the dependence in the BRICS using pairwise copula constructions. The results show that the three types of vine copula models suggest that Student’s t and the SBB7 copulas best describe the dependence structure in the BRICS markets. Unlike other studies, our findings show the existence of a very strong dependence between South Africa and Russia, South Africa and India, and South Africa and Brazil during the pre-crisis, the crisis and the post-crisis periods, suggesting a financial integration between these three countries. Furthermore, we find strong dependence between China and the rest of BRICS markets only during a financial crisis. The study identifies two types of dependence in the BRICS stock markets: the first is among small economies (South Africa, Brazil and Russia) and the second one among large economies (China and India). Small economies tend to co-move during bull and bear markets while large economies co-move with the rest only during bear market periods. , M.Com. (Financial Economics)
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- Authors: Tang, Liang
- Date: 2019
- Subjects: Stock exchanges - BRIC countries , Stocks - Prices - BRIC countries , Dependence (Statistics) , Copulas (Mathematical statistics)
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/402948 , uj:33743
- Description: Abstract : This study makes use of three types of vine copulas, c-vine, d-vine and r-vine copulas, to investigate the dependence structure in the BRICS stock markets using daily stock market price data spanning from 28-12-2000 to 10-08-2018. To account for the dynamic effects in dependence measures, the study divides the sample period into three sub-samples: the pre-crisis period (from 28-12- 2000 to 31-01-2007), the crisis period (from 01-02-2007 to 29-12-2011), and the post-crisis period (from 04-01-2012 to 10-08-2018). The price data is first converted to return series and filtered using different ARIMA-GARCH models in order to remove the autocorrelation and heteroscedasticity effects. During this process, it was found that most of the return series exhibited leverage effects, an indication that bad news in the stock markets leads to larger spikes in volatility than good news does. To understand the implication of this effect on the dependence structure of stock markets in the BRICS countries, the c-vine, d-vine and r-vine copulas are used. The use of vine copulas has some significant advantages over traditional copulas as they model the dependence in the BRICS using pairwise copula constructions. The results show that the three types of vine copula models suggest that Student’s t and the SBB7 copulas best describe the dependence structure in the BRICS markets. Unlike other studies, our findings show the existence of a very strong dependence between South Africa and Russia, South Africa and India, and South Africa and Brazil during the pre-crisis, the crisis and the post-crisis periods, suggesting a financial integration between these three countries. Furthermore, we find strong dependence between China and the rest of BRICS markets only during a financial crisis. The study identifies two types of dependence in the BRICS stock markets: the first is among small economies (South Africa, Brazil and Russia) and the second one among large economies (China and India). Small economies tend to co-move during bull and bear markets while large economies co-move with the rest only during bear market periods. , M.Com. (Financial Economics)
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The effects of oil price shocks on equity market returns in the BRICS grouping : a quantile on quantile approach
- Authors: Mabanga, Chris
- Date: 2019
- Subjects: Petroleum products - Prices , BRIC countries , Stocks - Prices - BRIC countries
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/451514 , uj:39789
- Description: Abstract: This study assesses the effects of the magnitude of oil price shocks i.e. large negative, positive and moderate oil price shocks on equity market returns in BRICS countries during different market circumstances by making use of quantile-on-quantile regression. The current study differs from studies that employ quantile-on-quantile in assessing the relationship between oil price shocks and equity returns in different aspects. Firstly, the study intends to assess how this relationship differs per countries given their factor endowment (i.e. whether they export or import oil) within the BRICS grouping. Secondly, we also differ from Sim Zhou (2015) and Tchatoka et al. (2018) because we introduce the supply shocks by following the same structure as Kilian and Park (2009) but changing the Cholesky decomposition by ordering real oil price first, assuming the contemporaneous response of global production to oil price. The results of the empirical analysis show that distinction should be made between the demand-driven and supply-driven oil price shocks and that the outcome of this relationship depends on whether a country is a net importer or exporter of crude oil. For most of the net oil-importing countries, the low oil price demand shocks, which translate to lower oil prices, further stimulate equity markets when they are at peak. And for oil-producing countries in general, high demand oil price shocks provide an incentive for the expansion of equity markets during bad market conditions. , M.Com. (Financial Economics)
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- Authors: Mabanga, Chris
- Date: 2019
- Subjects: Petroleum products - Prices , BRIC countries , Stocks - Prices - BRIC countries
- Language: English
- Type: Masters (Thesis)
- Identifier: http://hdl.handle.net/10210/451514 , uj:39789
- Description: Abstract: This study assesses the effects of the magnitude of oil price shocks i.e. large negative, positive and moderate oil price shocks on equity market returns in BRICS countries during different market circumstances by making use of quantile-on-quantile regression. The current study differs from studies that employ quantile-on-quantile in assessing the relationship between oil price shocks and equity returns in different aspects. Firstly, the study intends to assess how this relationship differs per countries given their factor endowment (i.e. whether they export or import oil) within the BRICS grouping. Secondly, we also differ from Sim Zhou (2015) and Tchatoka et al. (2018) because we introduce the supply shocks by following the same structure as Kilian and Park (2009) but changing the Cholesky decomposition by ordering real oil price first, assuming the contemporaneous response of global production to oil price. The results of the empirical analysis show that distinction should be made between the demand-driven and supply-driven oil price shocks and that the outcome of this relationship depends on whether a country is a net importer or exporter of crude oil. For most of the net oil-importing countries, the low oil price demand shocks, which translate to lower oil prices, further stimulate equity markets when they are at peak. And for oil-producing countries in general, high demand oil price shocks provide an incentive for the expansion of equity markets during bad market conditions. , M.Com. (Financial Economics)
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