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Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach
journal contribution
posted on 2018-09-20, 14:04 authored by Mehmet Balcilar, Rangan Gupta, Duc K. Nguyen, Mark WoharThis 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.
History
School
- Business and Economics
Department
- Business
Published in
Applied EconomicsVolume
50Issue
53Pages
5712-5727Citation
BALCILAR, M. ... et al, 2018. Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach. Applied Economics, 50 (53), pp.5712-5727.Publisher
© Taylor & FrancisVersion
- AM (Accepted Manuscript)
Publisher statement
This is an Accepted Manuscript of an article published by Taylor & Francis in Applied Economics on 21 Jun 2018, available online: https://doi.org/10.1080/00036846.2018.1488062Publication date
2018-06-21Copyright date
2018ISSN
0003-6846eISSN
1466-4283Publisher version
Language
- en