تحقیقات جهانی بازار بورس

Risk dependence and cointegration between pharmaceutical stock markets: The case of China and the USA

This paper analyses risk-integration and the degree of dependence between the Values-at-Risk (VaRs) estimates for the two major pharmaceutical stock markets in the world: USA and China. To do this, we study the dependence and fractional cointegration properties among risks. Using daily returns for an eleven-year period, we estimated the VaRs obtained for pharmaceutical market portfolios in China (Shanghai) and the USA (NYSE) using the market model and considering both long and short trading positions. We conclude that the Shanghai pharmaceutical market is riskier than NYSE, although is predictable and losses in both markets exhibit tail dependence between VaR estimates. Particularly, there is lower tail VaR dependence for long position and upper tail dependence for short positions, both being small and fairly constant. On the other hand, we have notfound fractional cointegration between risks, suggesting that China’s pharmaceutical sector is not integrated into the global pharmaceutical market.

Keywords

Pharmaceutical indexes
Value-at-Risk
Copula model
fractional cointegration

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