Dependency structure between the markets of Iran, Turkey, China and the United Arab Emirates, according the approach of Copula – Markov Switching

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Mirbargkar Seyed Mozaffar; SOHRABI MARYAM

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Journal Paper

Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2020 | Volume:13 | Issue:47 Page(s): 87-102

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Title

Dependency structure between the markets of Iran, Turkey, China and the United Arab Emirates, according the approach of Copula – Markov Switching

Author(s)

Mirbargkar Seyed Mozaffar | SOHRABI MARYAM | Issue Writer Certificate

Keywords

share market

dependence structure

GARCH models

Markov switching-Copula functions

Abstract

Studying, and analyzing the dependency structure between the markets at the economic boom and bust have been suggested by the researchers and theorists of different areas. Furthermore, there have been various models to explain the correlation between the financial markets. Among them, the Copula model has a high ability to recognize the asymmetric dependence structure. The present research is going to study the dependency structure in the financial markets of four countries; Iran, the United Arab Emirates, Turkey and China at the boom and bust cycling in the period of 2014-2017, applying conditional heterogeneity variance model (GARCH), the Markov switching approach, and the Copula functions. The results illustrate that there is an asymmetric structure in every regime, as at the recession time, the correlation between these markets and Iranian market would be higher than the boom time.

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