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Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis
United Arab Emirates Univ, U Arab Emirates.
Univ Newcastle, Australia.
Euromonitor Int Eastern Europe, Lithuania.
Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
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2018 (English)In: International Review of Financial Analysis, ISSN 1057-5219, E-ISSN 1873-8079, Vol. 59, p. 179-211Article in journal (Refereed) Published
Abstract [en]

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.

Place, publisher, year, edition, pages
ELSEVIER SCIENCE INC , 2018. Vol. 59, p. 179-211
Keywords [en]
Cross-quantilogram; Directional predictability; Developed market; Emerging market; Uncertainty
National Category
Economics
Identifiers
URN: urn:nbn:se:liu:diva-151631DOI: 10.1016/j.irfa.2018.08.005ISI: 000444513600013OAI: oai:DiVA.org:liu-151631DiVA, id: diva2:1251755
Note

Funding Agencies|UAEU UPAR Grant [G00001895]; Jan Wallander and Tom Hedelius Foundation

Available from: 2018-09-27 Created: 2018-09-27 Last updated: 2018-09-27

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Uddin, Gazi Salah
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