Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis
Title: Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis
Citation: International review of financial analysis, Vol. 59, pp. 179-211
ISSN: 1057-5219; 1873-8079
This paper examines the cross-quantile dependence between developed and emerging market stock returns and investigates its time-varying characteristics, using recursive sample estimations. The results based on cross-quantilogram approach reveal a heterogeneous quantile relation for the USA, UK, German, and Japanese stock returns to those of the emerging markets. Systematic risk generally does not explain the cross-country dependence structure, since it remains essentially unchanged when controlling for financial, geopolitical, and economic uncertainties. Moreover, the cross-quantile correlation changes over time, especially in the low and high quantiles, indicating that it is prone to jumps and discontinuities, even in a seemingly stable dependence structure. These results are important for institutional investors and market observers.
Subject: Cross-quantilogram; Directional predictability; Developed market; Emerging market; Uncertainty; Economic-policy uncertainty; Directional predictability; Return predictability; Latin-american; Countries evidence; Equity markets; United-states; Co-movements; US; Linkages
Available online: 09 August 2018
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