dc.contributor.author | LABIDI, Chiaz | |
dc.contributor.author | RAHMAN, Md Lutfur | |
dc.contributor.author | HEDSTROEM, Axel | |
dc.contributor.author | UDDIN, Gazi Salah | |
dc.contributor.author | BEKIROS, Stelios D. | |
dc.date.accessioned | 2018-12-06T13:55:29Z | |
dc.date.available | 2018-12-06T13:55:29Z | |
dc.date.issued | 2018 | |
dc.identifier.citation | International review of financial analysis, Vol. 59, pp. 179-211 | |
dc.identifier.issn | 1057-5219 | |
dc.identifier.issn | 1873-8079 | en |
dc.identifier.uri | https://hdl.handle.net/1814/59957 | |
dc.description | Available online: 09 August 2018 | en |
dc.description.abstract | 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. | |
dc.description.sponsorship | UAEU UPAR Grant [G00001895] | |
dc.description.sponsorship | Jan Wallander and Tom Hedelius Foundation | |
dc.language.iso | en | |
dc.publisher | Elsevier | en |
dc.relation.ispartof | International review of financial analysis | |
dc.subject | Cross-quantilogram | |
dc.subject | Directional predictability | |
dc.subject | Developed market | |
dc.subject | Emerging market | |
dc.subject | Uncertainty | |
dc.subject | Economic-policy uncertainty | en |
dc.subject | Directional predictability | en |
dc.subject | Return predictability | en |
dc.subject | Latin-american | en |
dc.subject | Countries evidence | en |
dc.subject | Equity markets | en |
dc.subject | United-states | en |
dc.subject | Co-movements | en |
dc.subject | US | en |
dc.subject | Linkages | en |
dc.title | Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis | |
dc.type | Article | en |
dc.identifier.doi | 10.1016/j.irfa.2018.08.005 | |
dc.identifier.volume | 59 | |
dc.identifier.startpage | 179 | |
dc.identifier.endpage | 211 | |
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