Dependence structure across equity sectors: Evidence from vine copulas
Dependence structure across equity sectors: Evidence from vine copulas
复制标题
DOI：
10.1016/j.bir.2022.10.003
复制
发表时间：
2023-02-28
影响因子：
5.2
通讯作者：
Khan, Mrestyal
中科院分区：
文献类型：
--
作者：
Aslam, Faheem;Hunjra, Ahmed Imran;Khan, Mrestyal
了解各个股票指数之间的行业动态依赖关系，对于投资决策和设计经济政策至关重要。本研究采用藤蔓联结法和2014年7月1日至2019年12月17日的每日数据，对82家巴基斯坦公司的行业依赖性进行了研究。Vine copulas代表了一种灵活的依赖方法，能够捕捉股票部门之间的动态和复杂关系，这些关系源于线性依赖模型无法捕捉的非对称回报行为的非线性模式。结果表明，巴基斯坦股市受油气营销部门和油气勘探部门驱动，对商业银行、化肥、发电配电、汽车零部件及配件的依赖程度较高。这些发现有助于解释在巴基斯坦等未被充分研究的新兴市场背景下，股票和行业之间的尾部依赖结构，这对投资组合管理和设计行业层面的政策至关重要。版权所有(c) 20202borsa Istanbul Anonim S, irketi这是一篇基于CC by-nc-nd许可（http://creativecommons.org/licenses/by-nc-nd/4.0/）的开放获取文章。
Understanding sectoral dynamic dependence across equity indexes is crucial for investment decisions and designing economic policy. This study examines the sectoral dependence among 82 Pakistani companies using a vine copula approach and daily data from July 1, 2014, to December 17, 2019. Vine copulas represent a flexible dependence approach capable of capturing the dynamic and complex relationships among equity sectors stemming from the nonlinear patterns of asymmetric behavior of returns that cannot be captured by linear dependence models. The results show that the Pakistani stock market is driven by the oil and gas marketing sector and oil and gas exploration sector, with high dependence on commercial banks, fertilizers, power generation and distribution, and automobile parts and accessories. The findings help explain the taildependence structure among equity stocks and sectors in the context of understudied emerging markets such as Pakistan, which is vital for portfolio management and designing sector-level policies.Copyright (c) 2022 Borsa Istanbul Anonim S , irketi . Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).