文章基本信息

标题：Modeling of Returns and Trading Volume by Regime Switching Copulas
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作者：Henryk Gurgul ; Artur Machno ; Roland Mestel 等
期刊名称：Ekonomia Menedzerska (älter als 2 Jahre)
印刷版ISSN：1898-1143
出版年度：2013
卷号：13
页码：45-64
DOI：10.7494/manage.2013.13.45
出版社：Akademia Górniczo-Hutnicza
摘要：The relations among international stock markets have been investigated inmany papers, especially in the periods of financial crises. The topic under study isimportant for market participants because due to globalization process the globalmarkets are becoming more and more dependent. This observation follows fromliberalization and deregulation in money and capital markets. In addition, theglobalization process diminishes opportunities for international diversification.The financial data show asymmetric dependence. This feature is reflected inthe observation that in the bear phase stock market data such as returns, tradingvolume and volatility are getting to be more dependent than in the bull stockmarket. This means that investors might lose advantages of international portfoliosand these portfolios may be more risky than what the investors assume. The occurrenceof such asymmetric interdependence is also probable between returns andtrading volume. The goal of this article is to describe co-movements of realizedvolatility and trading volume for selected stocks listed on Vienna Stock Exchange.