Stock price fluctuation and the business cycle in the BRICS countries: A nonparametric quantiles causality approach

Guangping Shi and Xiaoxing Liu

Finance Research Letters, 2020, vol. 33, issue C

Abstract: Using the newly developed nonparametric quantile causality method, we investigate the causal relationships in the mean and variance between stock price fluctuation and the business cycle for the BRICS countries. The empirical results reveal that the causality in the mean between stock price fluctuation and the business cycle is insignificant across all distributions, apart from Russia; however, the bidirectional causality in the variance covers virtually all quantiles, with some exceptions in the tails for all BRICS countries. Therefore, the investors and economic policy makers could consider the variance of stock price fluctuation and the business cycle and pay special attention to the tail quantiles to improve the efficiency of investment and policy.

Keywords: Stock price fluctuations; The business cycle; Quantile causality; Volatility (search for similar items in EconPapers)
JEL-codes: C32 E32 G15 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319300753

DOI: 10.1016/j.frl.2019.06.021

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