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Asymptotic Dependence Modelling of the BRICS Stock Markets

Author

Listed:
  • Caston Sigauke

    (Department of Mathematical and Computational Sciences, University of Venda, Private Bag X5050, Thohoyandou 0950, South Africa
    These authors contributed equally to this work.)

  • Rosinah Mukhodobwane

    (Department of Mathematical and Computational Sciences, University of Venda, Private Bag X5050, Thohoyandou 0950, South Africa
    These authors contributed equally to this work.)

  • Wilbert Chagwiza

    (Department of Mathematical and Computational Sciences, University of Venda, Private Bag X5050, Thohoyandou 0950, South Africa)

  • Winston Garira

    (Department of Mathematical and Computational Sciences, University of Venda, Private Bag X5050, Thohoyandou 0950, South Africa)

Abstract

With the use of empirical data, this paper focuses on solving financial and investment issues involving extremal dependence of 10 pairwise combinations of the 5 BRICS (Brazil, Russia, India, China, and South Africa) stock markets. Daily closing equity indices from 5 January 2010 to 6 August 2018 are used in the study. Unlike previous literature, we use bivariate point process and conditional multivariate extreme value models to investigate the extremal dependence of the stock market returns. However, it is observed that the point process was able to model many more extreme observations or exceedances that contribute to the likelihood estimation. It gives more information than the threshold excess method of the CMEV model. This study shows varying levels of low extremal dependence structure whose outcomes are highly beneficial to investors, portfolio managers and other market participants interested in maximising investment returns and financial gains.

Suggested Citation

  • Caston Sigauke & Rosinah Mukhodobwane & Wilbert Chagwiza & Winston Garira, 2022. "Asymptotic Dependence Modelling of the BRICS Stock Markets," IJFS, MDPI, vol. 10(3), pages 1-32, July.
    • Handle: RePEc:gam:jijfss:v:10:y:2022:i:3:p:58-:d:868806
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    References listed on IDEAS

    as
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