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Dependence Between Stock Market and Foreign Exchange Market in South Asia: a Copula-Garch Approch.

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dc.contributor.author Kamal, Javed Bin
dc.date.accessioned 2015-04-09T10:36:31Z
dc.date.available 2015-04-09T10:36:31Z
dc.date.issued 2014-10-31
dc.identifier.uri http://dspace.ewubd.edu/handle/2525/1196
dc.description This thesis submitted in partial fulfillment of the requirements for the degree of Masters of Social Science in Economics of East West University, Dhaka, Bangladesh. en_US
dc.description.abstract The thesis studies the dependence pattern between stock market and foreign exchange market of three South Asian countries; namely Bangladesh, India and Sri Lanka by using five copula functions, to reveal asymmetric dependence structure. Using daily return series for the period of July 31, 2009 to July 31, 2013, the thesis applied ARMA-GARCH type model to obtain marginal distributions of return series. The results from marginal models indicate that positive news creates more volatility than negatives; meanwhile such volatility dies immediately after a crisis. The results from copula models indicate existence of asymmetric dependence, with upper tail dependence for all pairs. Both Bangladeshi and Indian pairs provide some diversification possibility, against no diversification for investing in Srilankan market. Copula based dependence between stock market and foreign exchange market provides important implication in international investment decision making. en_US
dc.language.iso en_US en_US
dc.publisher East West University en_US
dc.relation.ispartofseries ;ECO00002
dc.subject Stock Market, Foreign Exchange, Copula, GARCH, en_US
dc.title Dependence Between Stock Market and Foreign Exchange Market in South Asia: a Copula-Garch Approch. en_US
dc.type Thesis en_US


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