Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis
International review of financial analysis, Vol. 59, pp. 179-211
LABIDI, Chiaz, RAHMAN, Md Lutfur, HEDSTROEM, Axel, UDDIN, Gazi Salah, BEKIROS, Stelios D., Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis, International review of financial analysis, Vol. 59, pp. 179-211 - https://hdl.handle.net/1814/59957
Retrieved from Cadmus, EUI Research Repository
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.
Available online: 09 August 2018
Cadmus permanent link: https://hdl.handle.net/1814/59957
Full-text via DOI: 10.1016/j.irfa.2018.08.005
ISSN: 1057-5219; 1873-8079
Keyword(s): 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
Sponsorship and Funder information:UAEU UPAR Grant [G00001895]Jan Wallander and Tom Hedelius Foundation
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