• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site
  • HSE University
  • Publications of HSE
  • Articles
  • Использование смешанных копула-функций для оценки степени и характера взаимосвязи российского фондового рынка с зарубежными фондовыми рынками развитых и развивающихся стран

Article

Использование смешанных копула-функций для оценки степени и характера взаимосвязи российского фондового рынка с зарубежными фондовыми рынками развитых и развивающихся стран

Кандауров Д. В.

In the context of globalization and liberalization of financial markets, the mutual relations between the national stock markets become more relevant. Herewith decisions depend, and they were made regarding to the global diversification of the investment portfolio. The research aims to study the nature (asymmetries and powers) of the mutual relationships of the Russian stock market with foreign stock markets. To achieve this goal, I have researched the parameters of the copula functions of the joint distribution of returns of indexes of the Russian and foreign stock markets and assessed the quality of approximation of functions of the joint distribution of the copula functions under study. To meet these challenges, I consider the model of mixed copulas (which is a function of making the transition from private distributions of random variables to their joint distribution). An estimation of the parameters using the mixed copulas is performed by the method of pseudo-maximum likelihood. The private functions of distribution of returns of stock markets are set empirically. The study confirmed the changeable nature of the relationship of the Russian stock market with foreign stock markets of developed and developing countries. From January 2000 to May 2008, the relationship of the Russian stock market with most of the foreign stock markets has seen a left-handed bias. The period from June 2008 to December 2010 is characterized by increased tightness of the relationship in both “tails” of the joint distribution of returns of stock markets. The third period (January 2011 to March 2014) was characterized by the predominance of right-handed asymmetry in the Russian stock market relationship with the majority of the foreign stock markets. Mixed copulas in most cases have shown a better approximation to the function of the joint distribution of returns pairs of stock markets compared to simple copulas. The results suggest that mixed copula functions are more efficient modeling of the relationship of the stock markets with regard to the simple copulas. Mixed copulas may be applied when assessing the risks of investing in foreign stock, as well as to determine the optimal hedge ratio while hedging currency risks.