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JACIII Vol.19 No.3 pp. 389-396
doi: 10.20965/jaciii.2015.p0389
(2015)

Paper:

Asymmetric Quantitative Model of Coexceedances and its Applications to the Study of Contagion Mechanism of the Financial Crisis

Xiaorong Yang, Jie Chen, and Chun He

College of Statistics & Mathematics, Zhejiang Gongshang University
Hangzhou 310018, China

Received:
December 31, 2013
Accepted:
February 23, 2015
Published:
May 20, 2015
Keywords:
asymmetric coexceedances, quantile regression, financial crisis contagion, securities market
Abstract

In this article, the linkage among the securities markets in returns, named “coexceedances,” is characterized by a new model. Considering that the positive and negative short-term liquidity shocks may cause very different influences on financial markets, the proposed model involves the asymmetric quantitative effects. Suitable explanatory variables are selected into our model after a fully consideration of factors which have potential effects on “coexceedances,” then the quantile technique is employed to estimate parameters. As an application, the asymmetric quantitative model of coexceedance is used to describe the contagion mechanism of the financial crisis. In the empirical study, we take some Asian markets as examples for analysis, and we find that during the financial crisis period, there are varied contagion effects among markets; and furthermore, other factors’ effects on “coexceedances” remarkably varied in each quantile. Our research may provide a reference for both the portfolio investors and the policy makers to forecast the risk and take the response to the financial crisis.

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Last updated on Oct. 24, 2017