Benefits of international diversification heavily rely on the degree of dependence across securities. In this paper, we extend the results of Garcia and Tsafack (2007) regime switching mixed copula model to include Asian countries and explain the effect of exchange rate risk on the asymmetric dependence.
Bootstrapped likelihood ratio tests show that asymmetric dependence of international market appears mostly insignificant when there is no exchange rate risk, while it appears significant with the presence of exchange rate risk. We suggest unwinding of foreign investment as one possible reason for these
results.
Keywords: Exchange rate risk; Copula; International Investment; Regime Switching, Mixed Copula
학회소식
[2011년 제 2차] Exchange Rate Risk and International Investment wit
작성자 : 관리자
조회수 : 1058
게시일 :
2011-06-03
