- Title
- Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis
- Creator
- Labidi, Chiaz; Rahman, Md Lutfur; Hedström, Axel; Uddin, Gazi Salah; Bekiros, Stelios
- Relation
- International Review of Financial Analysis Vol. 59, Issue October 2018, p. 179-211
- Publisher Link
- http://dx.doi.org/10.1016/j.irfa.2018.08.005
- Publisher
- Elsevier
- Resource Type
- journal article
- Date
- 2018
- Description
- 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.
- Subject
- cross-quantilogram; directional predictability; developed market; emerging market; uncertainty; SDG 10; Sustainable Development Goals
- Identifier
- http://hdl.handle.net/1959.13/1440933
- Identifier
- uon:41263
- Identifier
- ISSN:1057-5219
- Language
- eng
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Goal 10: Reduced Inequalities