<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>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 &amp; 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.</p>
</abstract>

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.

Risk contagion in financial markets based on copula model

Guangdong University of Finance and Economics

Applied Mathematics and Nonlinear Sciences

This work is licensed under the Creative Commons Attribution 4.0 International License.

{"article-title":"Risk contagion in financial markets based on copula model"}

Economic globalisation and the development of financial trade liberalisation lead to a higher probability of financial crises. At the same time, the occurrence...

Risk contagion in financial markets based on copula model

Data publikacji: 30 gru 2021

Zakres stron: 565 - 572

Otrzymano: 16 cze 2021

Przyjęty: 24 wrz 2021

DOI: https://doi.org/10.2478/amns.2021.1.00076

Słowa kluczowe
Financial crisis, structural Copula model, contagion effect, random variable

© 2021 Ma et al., published by Sciendo.

This work is licensed under the Creative Commons Attribution 4.0 International License.

Risk contagion in financial markets based on copula model

Data publikacji: 30 gru 2021

Zakres stron: 565 - 572

Otrzymano: 16 cze 2021

Przyjęty: 24 wrz 2021

DOI: https://doi.org/10.2478/amns.2021.1.00076

Słowa kluczoweFinancial crisis, structural Copula model, contagion effect, random variable

© 2021 Ma et al., published by Sciendo.

This work is licensed under the Creative Commons Attribution 4.0 International License.

Słowa kluczowe
Financial crisis, structural Copula model, contagion effect, random variable