EconPapers    
Economics at your fingertips  
 

Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach

Mehmet Balcilar, Rangan Gupta, Duc Khuong Nguyen and Mark Wohar ()

Applied Economics, 2018, vol. 50, issue 53, 5712-5727

Abstract: This article adopts a nonparametric quantile causality approach to examine the causal effects of the U.S. and Japan stock markets on the stock markets of the Pacific-Rim region. This approach allows us to detect not only nonlinear causalities in conditional return (mean) and conditional volatility (variance) but also the asymmetries of causalities under extreme market conditions (bullish vs. bearish states). Our results provide significant evidence of causality in return and volatility at different points of the conditional distributions of returns, with the greater effects from the U.S. than from Japan. Asymmetric quantile causality patterns are particularly pronounced in the case of Japan.

Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (29)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2018.1488062 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Causal Effects of the United States and Japan on Pacific-Rim Stock Markets: Nonparametric Quantile Causality Approach (2015)
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: https://EconPapers.repec.org/RePEc:taf:applec:v:50:y:2018:i:53:p:5712-5727

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2018.1488062

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2024-05-07
Handle: RePEc:taf:applec:v:50:y:2018:i:53:p:5712-5727