Exploring Quantile Dependence in financial Markets – part of our research seminar programme
|Date:||9 November 2017 - 9 December 2017|
|Time:||12:00 - 13:00|
|Organiser:||Prof. Karin Moser|
|Contact details:||020 7815 7701, firstname.lastname@example.org|
A stimulating debate around Brexit and consequent links to the European equity market determine the need to review our dependence upon these markets with regards to our financial markets
This event is part of the "research today!" seminar programme for Autumn 2017. ‘research today!’ is a research seminar series that shows the width of research in the Business School, and is a forum to foster the collaboration and exchange among interested colleagues. We meet weekly during teaching term times.
In the wake of Brexit, this event and research paper aims to provide a measure for the quantile dependence amongst different financial assets – bond, stock, and currency – within the UK market and their cross–border linkages with the European equity market.
We implement a nonparametric estimation method for both the tail and quantile dependence parameters on weekly data over the period 1989-2016 using copula. Our results suggest that the contagion effect between stock and currency markets is limited, even under extreme fluctuations.
We also find weak comovement between currency and bond markets, however, evidence of asymmetry is found in the dependence structure, possibly due to the ‘risk-reward’ scenario of international investors. Finally, our results indicate a weak dependence between stock returns and bond yields, possibly due to the low-yielding gilt and the thirst for income which push investors to diversify more thoroughly into other financial markets.
Senior Lecturer, Dr Weiou Wu will be discussing his research on Stock, Bond and Foreign Exchange Markets. Dr Weiou Wu will be joined by Washad Emambocus, who will be moderating the event.
"research today!" is back
Our “research today!” seminar is now open. If you haven’t been to one before, these are short presentations of emerging or new research in the School of Business, followed by an informal discussion. They last an hour, they are happening every week from now until the end of term, and this season is bigger and better than ever with some exciting guests.
Who can present?
Researchers and doctoral students from the Business School and associated guests, visitors and collaborators. This is a research forum to exchange ideas, get to know each other's research and foster collaboration in a collegial and friendly environment. The Season Two programme is full, but you can still book a spot for Season Three this autumn. Contact Karin Moser on email@example.com.
What’s in it for me if I come along?
How long do you have? Find out about Generation Y and what they buy, entrepreneurship in Vietnam, what makes up the rhetoric of US presidents’ speeches, the business models of East London gangs, or the relationship between information disclosure and financial performance in China to name only a few. See new ways of presenting persuasively. Meet new colleagues. Discover things you have in common. Test new ideas and bring your best arguments. It could even lead to new research collaborations.
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