Conditional correlation coefficient as a tool for analysis of contagion in financial markets and real economy indexes based on the synthetic ratio  

Oleh:

Siedlecki, Rafal ; Papla, Daniel

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: Procedia - Social and Behavioral Sciences vol. 220 (May 2016), page 1-10.
Topik: contagion in financial markets; synthetic measurement; conditional measure of concordance
Fulltext: Procedia v220 Page 452.pdf (211.61KB)

Isi artikel

We define contagion in financial markets as a significant increase in cross-market linkages after a shock to one or group of countries. Contagion occurs if cross-market co-movement increases significantly after the shock. In this article, the authors attempt to answer the question whether the selected world stock exchanges and economies are infecting each other within the meaning of the definition provided. Conditional copula functions and conditional Spearman's correlation coefficient will be used as a tool. Construction of a synthetic index of world financial markets is introduced. This index is based on the taxonomic distances of chosen stock market from the “best” object, where the best means object which has highest financial parameters. Main goal of this paper is to analyze changes in dependence between US stock market (S&P500) and chosen groups of world stock markets and constructed real economy index.

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali