IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v30y2023i16p2189-2194.html
   My bibliography  Save this article

Four types of tail dependence structures between U.S. dollar index and S&P 500 stock returns:1990-2019

Author

Listed:
  • Kuang-Liang Chang
  • Chingnun Lee
  • Chi-Wei He

Abstract

This research investigates four tail relationships between the U.S. dollar and S&P 500 returns by a dynamic mixture copula model with a link between the dependence structure and dependence intensity. The empirical results find that four tail relationships are evident and time-varying. Regarding the negative dependence, the tail relationship is prominently stronger in the situation where the U.S. dollar depreciates and the stock index increases than in the situation where the U.S. dollar appreciates and the stock index declines. Regarding the positive dependence, the situation of two returns increase occurs slightly more frequently than the situation of two returns decrease.

Suggested Citation

  • Kuang-Liang Chang & Chingnun Lee & Chi-Wei He, 2023. "Four types of tail dependence structures between U.S. dollar index and S&P 500 stock returns:1990-2019," Applied Economics Letters, Taylor & Francis Journals, vol. 30(16), pages 2189-2194, September.
    • Handle: RePEc:taf:apeclt:v:30:y:2023:i:16:p:2189-2194
    DOI: 10.1080/13504851.2022.2094877
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/13504851.2022.2094877
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13504851.2022.2094877?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:30:y:2023:i:16:p:2189-2194. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.