Interdependence between Greece and other European stock markets: A comparison of wavelet and VMD copula, and the portfolio implications
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- 作者：Syed Jawad Hussain Shahzada ; b ; jawadhussain@vcomsats.edu.pk" class="auth_mail" title="E-mail the corresponding author ; jawad.kazmi5@gmail.com" class="auth_mail" title="E-mail the corresponding author ; Ronald Ravinesh Kumarc ; d ; e ; kumar_RN@usp.ac.fj" class="auth_mail" title="E-mail the corresponding author ; ronaldravinesh.kumar@hdr.qut.edu.au" class="auth_mail" title="E-mail the corresponding author ; rrk1mpo@bolton.ac.uk" class="auth_mail" title="E-mail the corresponding author ; ronaldkmr15@gmail.com" class="auth_mail" title="E-mail the corresponding author ; Sajid Alib ; sajid.mahr@gmail.com" class="auth_mail" title="E-mail the corresponding author ; Saba Ameera ; sabaameer88@gmail.com" class="auth_mail" title="E-mail the corresponding author
- 关键词：Wavelets ; VMD copula ; Portfolio ; Contagion and interdependence ; European stock markets ; Greece
- 刊名：Physica A: Statistical Mechanics and its Applications
- 出版年：2016
- 出版时间：1 September 2016
- 年：2016
- 卷：457
- 期：Complete
- 页码：8-33
- 全文大小：13952 K
文摘
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The interdependence of Greece and other European stock markets is examined.
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Distinction between short and long term dynamics of stock market returns is made.
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Lower tail dependence shows sudden increase in comovement during crises.
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European stock markets have higher interdependence with Greece stock market.
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Two-asset portfolio VaR provides potential markets for Greece stock diversification.