Ryszard Doman’s research while affiliated with Adam Mickiewicz University and other places

The dependence structures between stock markets during trading and non-trading hours differ. We verify this on the basis of analysis of the dynamic dependence between five selected European stock markets during the period from 1997 to the beginning of 2013. The markets are represented by their main stock indices. We analyze three types of dependence by considering the stock indices returns that correspond to different parts of a day. The analysis is performed by means of Markov-switching copula models with three regimes. Since the period under scrutiny is relatively long, we are able to take into account events of importance in financial market evolution, including two subperiods of severe financial crisis (1997-1999 and 2007-2013), introduction of the euro, the Eastern extension of the European Union, and consolidation of stock markets. Moreover, the adopted approach enables us to avoid limiting ourselves to elliptical distributions for the bivariate returns, and gets possibility to assess dependence in tails of the bivariate distributions, which is especially important when dealing with unusual changes in the structure of dependence between markets.

In this paper, we analyze dependencies between the currencies of chosen emerging countries and the major (global) currencies – the euro and the American dollar. The idea is taken from a paper by Eun and Lai proposing a method to verify an opinion that currencies systematically co-move and the pattern of co-movement is significantly driven by the relative influence of the two global currencies. The observation by Eun and Lai is that in the case when a minor currency XYZ is driven by the US dollar, the exchange rates XYZ/EUR and USD/EUR co-move very closely. In the opposite case, i.e. when the XYZ is influenced by the euro, the exchange rates XYZ/USD and EUR/USD show strong interdependence. In our approach, the dynamics of dependencies is modeled by means of 3-regime Markov regime switching copula models, and the considered measures of the strength of the linkages are dynamic Spearman’s rho and tail dependence coefficients. Applying the Markov regime switching copula models allows us to capture temporal changes in the impact of the global currencies on the analyzed minor ones. Our results show that the euro area of influence is widening, and that during the considered period some of the analyzed currencies are releasing from the US dollar impact.

This paper investigates changes in the dynamics of linkages between selected national stock markets during the period 1995–2009. The analysis focuses on the possible effects of globalization and differences between crisis and non-crisis periods. We model the dynamics of dependencies between the series of daily returns on selected stock indices over different time periods, and compare strength of the linkages. Our tools are dynamic copula models and a formal sequential testing procedure based on the model confidence set methodology. We consider two types of dependencies: regular dependence measured by means of the conditional Spearman’s rho, and dependencies in extremes quantified by the conditional tail dependence coefficients. The main result consists of a collection of rankings created for the considered subperiods, which show how the mean level of strength of the dependencies have been changing in time. The rankings obtained for Spearman’s rho and tail dependencies differ, which allows us to distinguish between the results of crises and the effect of globalization.

We analyze the dynamics and strength of linkages between the Czech, Hungarian and Polish stock markets after the EU accession of the corresponding countries. In addition, we examine linkages between each of the markets and developed markets (European and US). The analysis is based on the daily quotations of the main representative stock indices (PX, BUX, WIG20, DAX, S&P 500) and includes the period from May 5, 2004 to July 20, 2012. The dynamics of dependencies is modeled by means of Markov-switching copula models, and the applied measures of the strength of the linkages are dynamic Spearman’s rho and tail dependence coefficients. The results show that dependencies between the considered emerging markets are very sensitive on market situation, but the linkages of these markets with the developed ones are stable.

The aim of the paper is to investigate the dynamics of linkages between stock markets during the period including the late-2000s financial crisis. We are interested in the patterns of the conditional dependence structure during distinct phases of the crisis, as well as in the pre- and post-crisis periods. The basic tool in the performed analysis is a 3-regime Markov-switching copula model applied to pairs of the daily returns on selected representative stock indices. The model enables us to distinguish between regimes without extreme dependence, and ones with tail dependence which can be of asymmetric type. We are thus able to deeply examine the linkages between chosen stock markets, focusing on a comparison of the strength of the tail dependencies during the considered periods.

The paper addresses the question of how the exchange rate dynamics affects the analysis of linkages between national stock markets. We consider two ways of tackling the problem. The first one consists in denominating the analyzed quotations in the same currency. The second deals with a direct introducing the exchange rate into a model. Our analysis is based on the daily return series on selected stock indices from the period 1995-2010. We model the dependence structure using dynamic copulas. This allows us to separate the dynamics of dependence from the volatility dynamics.