From: Tail dependence in emerging ASEAN-6 equity markets: empirical evidence from quantitative approaches
 | tDCC | GDCC | tvC | tvSJC | |
---|---|---|---|---|---|
Indonesia - Philippines | |||||
 v | 10.776 |  |  |  |  |
(4.503) | Â | Â | Â | Â | |
 ω |  |  | 0.0482 | 1.0553 | 1.6476 |
 |  | (0.109) | (2.165) | (1.255) | |
 α | 0.0577 | 0.0587 | −0.9909 | −10 | −7.5073 |
(0.017) | (0.017) | (0.428) | (18.114) | (4.875) | |
 β | 0.8694 | 0.8689 | 0.6846 | −0.2586 | −0.5145 |
(0.041) | (0.04) | (0.229) | (1.255) | (0.278) | |
Indonesia - Singapore | |||||
 v | 14.2384 |  |  |  |  |
(8.144) | Â | Â | Â | Â | |
 ω |  |  | 0.1018 | 0.2173 | 1.8095 |
 |  | (0.048) | (0.201) | (1.423) | |
 α | 0.0408 | 0.0372 | −0.7269 | −1.2259 | −9.9997 |
(0.021) | (0.02) | (0.269) | (1.375) | (5.698) | |
 β | 0.9407 | 0.946 | 0.9035 | 0.9392 | −0.8999 |
(0.04) | (0.038) | (0.037) | (1.423) | (0.089) | |
Indonesia - Thailand | |||||
 v | 13.2707 |  |  |  |  |
(5.802) | Â | Â | Â | Â | |
 ω |  |  | −0.9126 | 0.8537 | 1.4176 |
 |  | (0.468) | (4.23) | (2.82) | |
 α | 0.0628 | 0.0665 | −0.6241 | −9.9999 | −9.9996 |
(0.024) | (0.025) | (0.701) | (18.601) | (13.294) | |
 β | 0.8117 | 0.7891 | −0.2557 | −0.8535 | −0.575 |
(0.086) | (0.095) | (0.401) | (2.82) | (0.534) | |
Indonesia - Vietnam | |||||
 v | 20.9213 |  |  |  |  |
(13.291) | Â | Â | Â | Â | |
 ω |  |  | −5.1766 | 1.692 | −9.8017 |
 |  | (1.105) | (0.835) | (97.353) | |
 α | 0.034 | 0.0316 | 1.1724 | −8.1776 | −9.8526 |
(0.016) | (0.016) | (2.839) | (4.578) | (27.844) | |
 β | 0.9022 | 0.9013 | −0.7011 | 0.8758 | −0.9932 |
(0.047) | (0.053) | (0.716) | (97.353) | (0.071) | |
Indonesia - Malaysia | |||||
 v | 8.8425 |  |  |  |  |
(3.124) | Â | Â | Â | Â | |
 ω |  |  | 0.0673 | 0.5398 | 0.5078 |
 |  | (0.057) | (1.047) | (1.215) | |
 α | 0.0484 | 0.0393 | −0.6181 | −6.3802 | −4.7909 |
(0.024) | (0.028) | (0.331) | (3.912) | (5.083) | |
 β | 0.9106 | 0.9224 | 0.886 | −0.2229 | − 0.9256 |
(0.056) | (0.073) | (0.074) | (1.215) | (0.115) | |
Philippines - Singapore | |||||
 v | 12.1766 |  |  |  |  |
(5.389) | Â | Â | Â | Â | |
 ω |  |  | −0.5822 | −0.0496 | 1.1642 |
 |  | (0.358) | (0.043) | (1.059) | |
 α | 0.009 | 0.0218 | −0.7041 | −9.9995 | −5.0406 |
(0.006) | (0.019) | (0.476) | (2.786) | (4.515) | |
 β | 0.9889 | 0.9593 | −0.2969 | −0.9022 | −0.6408 |
(0.012) | (0.047) | (0.468) | (1.059) | (0.432) | |
Philippines - Thailand | |||||
 v | 39.7454 |  |  |  |  |
(33.605) | Â | Â | Â | Â | |
 ω |  |  | 0.0041 | −1.5307 | 1.183 |
 |  | (0.065) | (1.17) | (0.646) | |
 α | 0.0096 | 0.01 | −0.8443 | 1.3923 | − 6.5031 |
(0.006) | (0.006) | (0.368) | (2.443) | (3.028) | |
 β | 0.9869 | 0.9864 | 0.7433 | 0.1798 | 0.0854 |
(0.011) | (0.011) | (0.123) | (0.646) | (0.221) | |
Philippines - Malaysia | |||||
 v | 15.9193 |  |  |  |  |
(8.571) | Â | Â | Â | Â | |
 ω |  |  | −0.5876 | −0.8893 | 0.6422 |
 |  | (0.213) | (3.359) | (1.777) | |
 α | 0.0161 | 0.015 | −0.5648 | −3.5354 | −4.805 |
(0.007) | (0.006) | (0.62) | (14.29) | (8.759) | |
 β | 0.9741 | 0.9769 | 0.1172 | −0.1835 | −0.2511 |
(0.013) | (0.01) | (0.159) | (1.777) | (0.749) | |
Philippines - Vietnam | |||||
 v | 28.5507 |  |  |  |  |
(23.732) | Â | Â | Â | Â | |
 ω |  |  | −2.6645 | −9.9998 | 1.6231 |
 |  | (1.065) | (6343.733) | (139.05) | |
 α | 0.0135 | 0.0135 | 1.5003 | 9.9997 | −10 |
(0.008) | (0.007) | (1.72) | (16,144.394) | (652.5) | |
 β | 0.9728 | 0.9744 | 0.1475 | 4.3826 | 0.6776 |
(0.017) | (0.015) | (0.201) | (139.05) | (5.633) | |
Singapore - Thailand | |||||
 v | 9.0856 |  |  |  |  |
(3.045) | Â | Â | Â | Â | |
 ω |  |  | −0.404 | −1.083 | 1.4928 |
 |  | (0.299) | (1.035) | (1.001) | |
 α | 0.0211 | 0.0162 | −2.1804 | −1.6226 | −9.9961 |
(0.014) | (0.01) | (0.707) | (3.749) | (4.38) | |
 β | 0.9696 | 0.9786 | −0.2267 | −0.8683 | −0.9302 |
(0.03) | (0.016) | (0.268) | (1.001) | (0.039) | |
Singapore - Vietnam | |||||
 v | 199.8059 |  |  |  |  |
(8777.354) | Â | Â | Â | Â | |
 ω |  |  | −4.1932 | 0.8938 | −2.6044 |
 |  | (0.687) | (0.688) | (3.556) | |
 α | 0.0194 | 0.0193 | −1.2939 | −6.1077 | −8.4366 |
(0.014) | (0.011) | (0.76) | (4.435) | (9.21) | |
 β | 0.9691 | 0.9693 | −0.8946 | 0.7639 | −0.3521 |
(0.028) | (0.022) | (0.028) | (3.556) | (0.55) | |
Singapore - Malaysia | |||||
 v | 9.4262 |  |  |  |  |
(3.191) | Â | Â | Â | Â | |
 ω |  |  | 0.0709 | 1.4373 | 1.9502 |
 |  | (0.058) | (1.236) | (1.299) | |
 α | 0.0432 | 0.0347 | −0.6044 | −9.9998 | −9.0747 |
(0.018) | (0.017) | (0.247) | (5.774) | (5.759) | |
 β | 0.9079 | 0.9161 | 0.8647 | −0.5537 | − 0.9309 |
(0.042) | (0.049) | (0.049) | (1.299) | (0.054) | |
Thailand – Vietnam | |||||
 v | 42.8752 |  |  |  |  |
(22.979) | Â | Â | Â | Â | |
 ω |  |  | −0.1177 | −2.231 | −2.6358 |
 |  | (0.18) | (2.499) | (4.768) | |
 α | 0.0278 | 0.0275 | −0.4673 | −1.819 | 3.824 |
(0.029) | (0.034) | (0.364) | (4.558) | (20.7) | |
 β | 0.9277 | 0.9275 | 0.8798 | 3.4432 | 3.1172 |
(0.122) | (0.147) | (0.063) | (4.768) | (1.964) | |
Thailand - Malaysia | |||||
 v | 8.4662 |  |  |  |  |
(2.829) | Â | Â | Â | Â | |
 ω |  |  | −0.9144 | 0.3341 | 1.0142 |
 |  | (0.406) | (0.496) | (1.26) | |
 α | 0.0566 | 0.0484 | −0.8585 | −3.1716 | −9.9998 |
(0.022) | (0.021) | (0.487) | (1.937) | (5.012) | |
 β | 0.8023 | 0.8194 | −0.2653 | 0.4911 | −0.8431 |
(0.043) | (0.046) | (0.404) | (1.26) | (0.063) | |
Vietnam - Malaysia | |||||
 v | 18.4456 |  |  |  |  |
(10.407) | Â | Â | Â | Â | |
 ω |  |  | −4.2061 | −1.6873 | −1.7468 |
 |  | (0.566) | (22.524) | (12.396) | |
 α | 0.0099 | 0.0097 | −0.7419 | −0.6685 | −0.7096 |
(0.006) | (0.006) | (0.412) | (26.549) | (7.449) | |
 β | 0.9834 | 0.9843 | −0.8844 | 3.0697 | 2.3942 |
(0.011) | (0.01) | (0.049) | (12.396) | (7.565) |