TY - JOUR
T1 - Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis
AU - Labidi, Chiaz
AU - Rahman, Md Lutfur
AU - Hedström, Axel
AU - Uddin, Gazi Salah
AU - Bekiros, Stelios
N1 - Publisher Copyright:
© 2018
PY - 2018/10
Y1 - 2018/10
N2 - 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.
AB - 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.
KW - Cross-quantilogram
KW - Developed market
KW - Directional predictability
KW - Emerging market
KW - Uncertainty
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U2 - 10.1016/j.irfa.2018.08.005
DO - 10.1016/j.irfa.2018.08.005
M3 - Article
AN - SCOPUS:85051666004
SN - 1057-5219
VL - 59
SP - 179
EP - 211
JO - International Review of Financial Analysis
JF - International Review of Financial Analysis
ER -