Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis

Chiaz Labidi, Md Lutfur Rahman, Axel Hedström, Gazi Salah Uddin, Stelios Bekiros

    Research output: Contribution to journalArticlepeer-review

    16 Citations (Scopus)

    Abstract

    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.

    Original languageEnglish
    Pages (from-to)179-211
    Number of pages33
    JournalInternational Review of Financial Analysis
    Volume59
    DOIs
    Publication statusPublished - Oct 2018

    Keywords

    • Cross-quantilogram
    • Developed market
    • Directional predictability
    • Emerging market
    • Uncertainty

    ASJC Scopus subject areas

    • Finance
    • Economics and Econometrics

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