کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7355570 | 1477894 | 2018 | 65 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis
ترجمه فارسی عنوان
وابستگی کوانتومی بین بازارهای سهام توسعه یافته و در حال ظهور پس از بحران مالی جهانی
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 59, October 2018, Pages 179-211
Journal: International Review of Financial Analysis - Volume 59, October 2018, Pages 179-211
نویسندگان
Chiaz Labidi, Md Lutfur Rahman, Axel Hedström, Gazi Salah Uddin, Stelios Bekiros,