| 英文摘要 |
The study applies extreme linkage theory to measure the tail dependence behavior of returns distribution between US and international stock markets from 1991 to 2013. The proposed method is a two stage non-parametric estimation method which can efficiently measure the extreme dependence of the conditional distribution of the heteroscedastic returns series and minimize estimation bias. Firstly the empirical analysis demonstrates that when negative shocks occur there are high level market co-movements or interdependence between US and Asian, Latin American and European stock markets, but there are no tail dependence. When positive shocks occur there are tail dependence between US and European larger stock markets such as Britain, Germany and France. Secondly the left and right tail dependence function of return distribution between the US and international stock markets are not different, but rolling sample estimation finds the left and right tail dependence time-varying. Thirdly countries geographically near US have high left and right tail dependence with US. Finally we find that the impacts of financial crisis on dependence and contagion pattern vary across different financial crises. In particular, the US subprime mortgage crisis in 2007 triggered the financial tsunami and the European debt crisis, and spillover its effects on market, credit, and liquidity risks, from local financial market to the global financial markets. |
