Causal Effects of the United States and Japan on Pacific-Rim Stock Markets: Nonparametric Quantile Causality Approach
Duc Khuong Nguyen and
Mark Wohar ()
No 201595, Working Papers from University of Pretoria, Department of Economics
This paper 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.
Keywords: Return spillover; equity markets; Pacific-Rim (search for similar items in EconPapers)
JEL-codes: C32 C58 G10 Q02 (search for similar items in EconPapers)
Pages: 24 pages
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Journal Article: Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201595
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