Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5102214 | The North American Journal of Economics and Finance | 2017 | 12 Pages |
Abstract
This paper aims to analyze whether US news on inflation and unemployment causes returns and volatility of seven emerging Asian stock markets from 1994 to 2014, by employing the causality-in-quantile approach. We find evidence that US news affect returns and/or volatility of all the seven stock markets considered, with these effects clustered around the tails of the conditional distribution of returns and volatility when they are either in bear or bull modes. In general, our results highlight the importance of modeling nonlinearity and studying entire conditional distributions of stock returns and volatility to draw correct inferences.
Related Topics
Social Sciences and Humanities
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Economics and Econometrics
Authors
Mehmet Balcilar, Esin Cakan, Rangan Gupta,