Risk contagion in financial markets based on copula model
- Autores: Li Ma, Fahad Abdullah Alqurashi, Mohamed Selmi
- Localización: Applied Mathematics and Nonlinear Sciences, ISSN-e 2444-8656, Vol. 7, Nº. 1, 2022, págs. 565-572
- Idioma: inglés
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Resumen
Economic globalisation and the development of financial trade liberalisation lead to a higher probability of financial crises. At the same time, the occurrence of financial crises has a particular risk of contagion. Based on this research background, this paper constructs a dynamic Copula model. It demonstrates the application of this model in financial market risk management based on the correlation changes between the US stock market and the Chinese stock market before and after the financial crisis. The results show that the Standard & Poor’s Index and China before the crisis broke out There is a specific correlation between the stock markets, which shows that the financial crisis has affected both the Chinese and American stock markets. Therefore, risks in the financial market are contagious.
