Economics at your fingertips  

Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis

Chiaz Labidi, Md Lutfur Rahman, Axel Hedström, Gazi Uddin () and Stelios Bekiros

International Review of Financial Analysis, 2018, vol. 59, issue C, 179-211

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: Cross-quantilogram; Directional predictability; Developed market; Emerging market; Uncertainty (search for similar items in EconPapers)
JEL-codes: C22 G15 G17 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1016/j.irfa.2018.08.005

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Nithya Sathishkumar ().

Page updated 2021-05-12
Handle: RePEc:eee:finana:v:59:y:2018:i:c:p:179-211