Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7355570 | International Review of Financial Analysis | 2018 | 65 Pages |
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.
Keywords
Related Topics
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Economics, Econometrics and Finance
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Authors
Chiaz Labidi, Md Lutfur Rahman, Axel Hedström, Gazi Salah Uddin, Stelios Bekiros,