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Tail dependence structure of the foreign exchange market A network view.pdf

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Tail dependence structure of the foreign exchange market A network view.pdf

Expert Systems With Applications 46 (2016) 164–179 Contents lists available at ScienceDirect Expert Systems With Applications journal homepage: /locate/eswa Tail dependence structure of the foreign exchange market: A network view Gang-Jin Wang a,b,c,?, Chi Xie a,b a College of Business Administration, Hunan University, Changsha 410082, China b Center of Finance and Investment Management, Hunan University, Changsha 410082, China c Center for Polymer Studies and Department of Physics, Boston University, Boston, MA 02215, USA article info Keywords: Dependence structure Foreign exchange market Network Copula Cluster analysis Community structure abstract Tail dependence of ?nancial entities describes when the price of one ?nancial asset has an extreme ?uctuation (e.g., price sharply rises or falls), the degree of its effect on the price ?uctuation of another asset. Under the background of the global ?nancial crisis, tail dependence structure of ?nancial entities plays an important role in ?nancial risk management, portfolio selection, and asset pricing. In this paper, we propose a concept of tail dependence networks to investigate the tail dependence structure of the foreign exchange (FX) market. Lower- and upper-tail dependence networks for 42 major currencies in the FX market from 2005 to 2012 are constructed by combing the symmetrized Joe-Clayton copula model and two ?ltered graph algorithms, i.e., the minimum spanning tree (MST) and the planar maximally ?ltered graph (PMFG). We also construct the tail dependence hierarchical trees (HTs) associated with the MSTs to analyze the currency clusters. We ?nd that (1) the two series of lower- and upper-tail dependence coe?cients present different statistical properties; (2) the upper-tail dependence networks are tighter than the lower-tail dependence networks; and (3) different currency clusters, cliques and communities are respectively found in the two tail dependence networks. The key empirical results indicate that market