Skip to main content
Financial Innovation

Table 5 Time varying copula dependencies between Gold and MENA stock returns

From: Extreme dependencies and spillovers between gold and stock markets: evidence from MENA countries

 

UAE

Bahrain

Lebanon

Qatar

Egypt

Jordan

Kuwait

Morocco

Oman

Saudi Arabia

1. Normal

á½¼

− 0.0129***

− 0.0097***

− 0.0004***

− 0.0050***

0.0100***

0.0267***

− 0.0167***

− 0.0062***

− 0.0288***

0.0151***

 

(0.0519)

(0.0477)

(0.0027)

(0.0172)

(0.0361)

(0.0506)

(0.0580)

(0.0646)

(0.0489)

(0.0216)

Α

0.0744***

0.1405***

0.0298***

− 0.0175***

0.0136***

− 0.1812***

0.1552***

0.0089***

0.1113***

0.0300***

 

(0.1374)

(0.1370)

(0.0220)

(0.0651)

(0.0473)

(0.1463)

(0.1500)

(0.0667)

(0.1446)

(0.0474)

Î’

− 1.2705***

− 1.0026***

1.8333***

1.2815***

1.5478***

− 1.2041***

− 1.7655***

1.4258***

− 0.9030***

1.3999***

 

(1.6929)

(1.1338)

(0.1450)

(2.4968)

(1.6280)

(0.9040)

(0.3499)

(5.5887)

(1.8628)

(0.7513)

AIC

− 0.3578

− 1.1468

− 4.3074

− 0.3989

− 2.3654

− 1.8458

− 1.1473

− 0.5528

− 1.0655

− 3.6353

2. Clayton

Ψ0

0.0004

− 0.0295***

0.2276***

0.0003

− 0.3487

− 0.0375***

− 0.2167***

0.0008

0.0011

0.2262***

 

(0.9263)

(0.1599)

(0.0942)

(2.4083)

(13,635.2541)

(0.1551)

(0.0180)

(0.8112)

(0.3720)

(2.2909)

Ψ1

− 2.2050***

2.2990***

1.2155***

− 1.8390***

− 2.1367

− 0.7764***

− 2.0439***

− 1.8541***

− 1.6525***

1.7016***

 

(3.0071)

(0.2748)

(0.2254)

(27.4406)

(906.3707)

(0.3138)

(0.1017)

(0.7720)

(1.4331)

(0.9396)

Ψ2

− 0.0005

0.1906***

− 0.5370***

− 0.0002

1.2314

0.3049***

0.6591***

− 0.0018

− 0.0026

− 0.4038**

 

(2.9567)

(0.1667)

(0.3633)

(2.3608)

(2309.4563)

(0.6321)

(0.0776)

(3.2988)

(5.3837)

(12.8626)

AIC

0.0162

− 0.0275

− 0.2052

0.0179

− 1.4577

− 0.1066

− 0.0688

0.0221

0.0246

− 3.9744

3. Rotated clayton

á½¼

− 0.1590***

0.0010***

− 0.4331***

0.2280***

0.0435***

0.3762

0.5092***

0.4016***

0.5687***

0.6538***

 

(0.0920)

(0.0236)

(0.2877)

(1.9164)

(0.6196)

(29.2864)

(0.1439)

(0.2494)

(0.0378)

(0.0370)

Α

− 3.6261***

− 2.6439***

1.0282***

− 1.4039***

− 0.5947***

− 2.6577***

− 1.2069***

− 3.3608***

− 0.8150***

− 2.9407***

 

(2.2991)

(0.1014)

(0.3208)

(0.7755)

(0.7205)

(13.9606)

(0.0836)

(3.5003)

(0.0692)

(0.1309)

Î’

0.9571***

− 0.0017***

1.3500***

− 0.4450***

0.4718***

− 0.8237***

− 1.2953***

− 0.9125***

− 1.6003***

− 1.3674***

 

(0.3399)

(0.0247)

(0.6709)

(2.5652)

(1.7148)

(15.6611)

(0.4530)

(0.5690)

(0.0867)

(0.1571)

AIC

− 1.4283

0.0061

− 3.4085

− 0.2153

− 4.2741

0.5554

− 1.9038

− 0.8646

− 4.4927

− 5.3361

4. Gumbel

á½¼u

− 0.0004

0.0003

2.1889***

0.0000

3.5819***

− 0.1043***

2.2448***

0.0370

1.6511***

2.0752***

 

(7.8567)

(9.8943)

(0.8930)

(3.6213)

(0.5818)

(2.3928)

(1.5093)

(5.2778)

(0.4103)

(7.4915)

αu

0.0004

− 0.0003

− 1.9173***

0.0000

− 3.5718***

− 0.0927**

− 1.9741***

− 0.0951

− 1.2797***

− 1.8434***

 

(7.7361)

(9.8548)

(1.0110)

(3.4547)

(0.5787)

(2.4699)

(1.6189)

(5.3823)

(0.4991)

(7.2499)

βu

0.0000

0.0000

− 0.7963***

0.0000

0.5627***

0.7256***

− 0.7207***

0.2630***

− 1.0380***

− 0.3952***

 

(0.9048)

(0.6317)

(0.4677)

(1.0862)

(0.1756)

(0.7359)

(0.4717)

(1.1248)

(0.3663)

(0.7041)

AIC

− 0.0519

− 0.0395

− 0.9374

− 0.0479

− 6.3606

0.7178

− 0.5118

− 0.1049

− 3.0013

− 1.1128

5. Rotated Gumbel

á½¼L

0.0002

0.0280***

− 1.5769***

− 0.0001

2.3363***

0.6275***

2.4658***

2.5354***

2.1542***

− 2.2195***

 

(6.1091)

(0.5523)

(0.5678)

(2.7514)

(1.9088)

(4.1562)

(2.3172)

(2.8736)

(0.8240)

(0.8506)

αL

− 0.0002

− 0.0280***

1.7871***

0.0001

− 2.5249***

− 0.5698***

− 2.2817***

− 2.5336***

− 1.8818***

2.3294***

 

(6.0324)

(0.5047)

(0.4707)

(2.6894)

(1.6329)

(3.9208)

(2.4898)

(2.6782)

(0.9127)

(0.7243)

βL

0.0000

0.0000

− 0.4939***

0.0000

0.8456***

− 0.0782***

− 0.5334***

− 0.0033

− 0.7455***

− 0.1615***

 

(1.2696)

(0.4615)

(0.3205)

(0.5713)

(0.7417)

(0.7336)

(0.5830)

(0.8688)

(0.3395)

(0.4256)

AIC

− 0.0484

− 0.0385

− 2.5053

− 0.0325

− 1.5329

0.0889

− 1.1356

− 0.1988

− 1.1432

− 0.09052

6. Symmetrized JC

á½¼U

− 20.6630***

− 17.7196***

− 20.4209***

− 20.8841***

− 16.6000***

− 16.9259***

− 21.1456***

− 20.4989***

− 20.5628***

− 19.9958***

 

(1.0000)

(1.0000)

(1.0000)

(1.0000)

(97.2161)

(84.5235)

(1.0000)

(1.0000)

(1.0000)

(214.5680)

βU

0.0000

0.0000

0.0000

0.0000

− 0.5819

− 0.5202

0.0000

0.0000

0.0000

− 2.9315***

 

(1.0000)

(1.0000)

(1.0000)

(1.0000)

(43.6792)

(48.0899)

(1.0000)

(1.0000)

(1.0000)

(76.4480)

αU

0.0000

0.0000

0.0000

0.0000

− 0.0152

0.0424

0.0000

0.0000

0.0000

− 0.0052

 

(1.0000)

(1.0000)

(1.0000)

(1.0000)

(1.5146)

(4.0303)

(1.0000)

(1.0000)

(1.0000)

(1.0299)

á½¼L

− 18.0539***

− 17.0785***

− 18.0310***

− 18.1053***

− 20.1282***

− 16.9242***

− 17.9790***

− 18.2438***

− 18.2736***

− 16.6303

 

(1.0000)

(1.0000)

(1.0000)

(1.0000)

(203.7393)

(58.2425)

(1.0000)

(1.0000)

(1.0000)

(86.5340)

βL

0.0000

0.0000

0.0000

0.0000

− 0.0174

− 0.1406

0.0000

0.0000

0.0000

− 0.5893

 

(1.0000)

(1.0000)

(1.0000)

(1.0000)

(1.6406)

(13.0325)

(1.0000)

(1.0000)

(1.0000)

(30.7743)

αL

0.0000

0.0000

0.0000

0.0000

0.0001

− 0.0018

0.0000

0.0000

0.0000

− 0.0107

 

(1.0000)

(1.0000)

(1.0000)

(1.0000)

(1.0001)

(1.0136)

(1.0000)

(1.0000)

(1.0000)

(1.1158)

AIC

28.9284

29.0128

26.3223

32.1495

12.2607

21.5866

30.3587

32.4637

34.1685

11.8308

7. Student's t

Ψ0

0.0149***

− 0.0155***

− 0.0136***

− 0.0141***

0.0683***

0.0237***

0.0028***

− 0.0453***

− 0.0264***

0.0956***

 

(0.0562)

(0.0376)

(0.0591)

(0.0588)

(0.0551)

(0.0518)

(0.0670)

(0.0665)

(0.0653)

(0.0690)

Ψ1

0.1202***

0.0727***

− 0.0562***

0.0774***

− 0.0917***

− 0.1197***

0.0732***

0.0266***

− 0.0704***

− 0.0831***

 

(0.0774)

(0.0780)

(0.0812)

(0.0873)

(0.0815)

(0.0883)

(0.1235)

(0.0633)

(0.0653)

(0.1117)

Ψ2

− 1.3303***

− 0.0904***

− 1.5807***

− 1.5209***

− 0.6150***

− 1.0368***

− 1.7734***

− 2.0028***

− 2.0000***

− 1.4802***

 

(0.9427)

(1.4809)

(0.5592)

(0.7299)

(1.2158)

(1.0548)

(0.3753)

(0.0015)

(0.0034)

(0.6809)

Ï…

5.0000***

5.0000***

5.0000***

5.0000***

5.0000***

5.0000***

5.0000***

5.0000***

5.0000***

5.0000***

 

(0.4429)

(0.2625)

(2.9659)

(0.4070)

(0.9834)

(0.9220)

(1.1780)

(0.2902)

(0.4227)

(0.6335)

AIC

112.1165

121.4967

120.6067

132.3209

121.9518

120.7919

123.731

105.2099

127.6902

140.7409

  1. Maximum Likelihood estimates for bivariate dynamic copulas are presented in the above table. Standard errors are presented in parenthesis. AIC values are adjusted for small− sample bias for each model with minimum AIC values (in bold) highlighting the best fitted copula. ***, ** and * denote 1%, 5% and 10% level of significance, respectively
Back to article page