دورية أكاديمية
Risk dependence and cointegration between pharmaceutical stock markets: the case of China and the USA
| العنوان: | Risk dependence and cointegration between pharmaceutical stock markets: the case of China and the USA |
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| المؤلفون: | Zhou, Xinmiao, Qian, Huanhuan, Pérez Rodríguez, Jorge Vicente, González Lopez-Valcarcel, Beatriz |
| المساهمون: | BU-ECO |
| المصدر: | North American Journal of Economics and Finance [ISSN 1062-9408], n. 52, (Abril 2020) |
| سنة النشر: | 2020 |
| المجموعة: | Universidad de Las Palmas de Gran Canaria: Acceda |
| مصطلحات موضوعية: | 531207 Sanidad, Pharmaceutical indexes, Value-at-Risk, Copula model, Fractional cointegration |
| الوصف: | This paper analyses risk-integration and the degree of dependence between the Values-at-Risk (VaRs) estimates for the two major pharmaceutical stock markets in the world: USA and China. To do this, we study the dependence and fractional cointegration properties among risks. Using daily returns for an eleven-year period, we estimated the VaRs obtained for pharmaceutical market portfolios in China (Shanghai) and the USA (NYSE) using the market model and considering both long and short trading positions. We conclude that the Shanghai pharmaceutical market is riskier than NYSE, although is predictable and losses in both markets exhibit tail dependence between VaR estimates. Particularly, there is lower tail VaR dependence for long position and upper tail dependence for short positions, both being small and fairly constant. On the other hand, we have not found fractional cointegration between risks, suggesting that China’s pharmaceutical sector is not integrated into the global pharmaceutical market. |
| نوع الوثيقة: | article in journal/newspaper |
| اللغة: | English |
| تدمد: | 1062-9408 |
| العلاقة: | North American Journal of Economics and Finance; http://hdl.handle.net/10553/107039Test; Sí |
| DOI: | 10.1016/j.najef.2020.101175 |
| الإتاحة: | https://doi.org/10.1016/j.najef.2020.101175Test http://hdl.handle.net/10553/107039Test |
| رقم الانضمام: | edsbas.5EFAD54 |
| قاعدة البيانات: | BASE |
| تدمد: | 10629408 |
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| DOI: | 10.1016/j.najef.2020.101175 |