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Journal article
Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach
Applied economics, v 49(25), pp 2409-2427
28 May 2017
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
We use regular vine (r-vine), canonical vine (c-vine) and drawable vine (d-vine) copulas to examine the dependence risk characteristics of three 20-stock portfolios from the retail, manufacturing and gold-mining equity sectors of the Australian market in periods before, during and after the 2008-2009 global financial crisis (GFC). Our results indicate that the retail portfolio is less risky than the manufacturing counterpart in the crisis period, while the gold-mining portfolio is less risky than both the retail and manufacturing sector portfolios. Both the retail and gold stocks display a higher propensity to yield positively skewed returns in the crisis periods, contrary to the manufacturing stocks. The r-vine is found to best capture the multivariate dependence structure of the stocks in the retail and gold-mining portfolios, while the d-vine does it for the manufacturing stock portfolio. These findings could be used to develop dependence risk- and investment risk-adjusted strategies for investment, rebalancing and hedging which more adequately account for the downside risk in various market conditions.
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Details
- Title
- Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach
- Creators
- Jose Arreola Hernandez - School of Business, Humanities and Social Sciences, Instituto Tecnologico y de Estudios Superiores de MonterreyShawkat Hammoudeh - Montpellier Business SchoolDuc Khuong Nguyen - IPAG Business SchoolMazin A. M. Al Janabi - EGADE Business SchoolJuan Carlos Reboredo - University of Santiago de Compostela
- Publication Details
- Applied economics, v 49(25), pp 2409-2427
- Publisher
- Routledge
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000396817100002
- Scopus ID
- 2-s2.0-84996940118
- Other Identifier
- 991019167906404721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Economics