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 - Funding Information:
This research was supported by the UAEU UPAR Grant G00001895. The fourth author is thankful for the financial support provided by the Jan Wallander and Tom Hedelius Foundation. We are grateful to faculty members of the European University Institute (EUI), the Athens University of Economics and Business (AUEB), University of Vaasa and Linköping University as well as seminar participants at other institutions for helpful discussions.
Funding Information:
This research was supported by the UAEU UPAR Grant G00001895 . The fourth author is thankful for the financial support provided by the Jan Wallander and Tom Hedelius Foundation. We are grateful to faculty members of the European University Institute (EUI), the Athens University of Economics and Business (AUEB), University of Vaasa and Linköping University as well as seminar participants at other institutions for helpful discussions.
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 -