Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis
Md Lutfur Rahman,
Gazi Uddin () and
International Review of Financial Analysis, 2018, vol. 59, issue C, 179-211
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)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:59:y:2018:i:c:p:179-211
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