Are there asymmetric linkages between African stocks and exchange rates?

Peterson Owusu Junior and George Tweneboah

Research in International Business and Finance, 2020, vol. 54, issue C

Abstract: The graph plots the QR and QQR estimates in the short-term (IMF.1), medium-term (IMF.5), and long-term (IMF.Resisual). The figures helps to compare the magnitude and direction of the two estimation techniques to show the asymmetric frequency-varying dependence between exchange rates and African stock market returns.

Keywords: Exchange rates; African stocks; Ensemble Empirical Mode Decomposition (EEMD); Decomposition-based Quantile-in-Quantile Regressions (QQR) (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919311559

DOI: 10.1016/j.ribaf.2020.101245

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