In this article, we examine the recent trends in dependence structure between the fast-growing commodity markets and the stock markets in China in order to draw implications for portfolio investment. We address this issue by using copula functions that allow for measuring both average and tail...

This paper examines the dependence structure between the emerging stock markets of the BRICS countries (Brazil, Russia, India, China and South Africa) and influential global factors (the S&P 500 index, the commodity markets, the global stock market uncertainty and the US economic policy...