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

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journal contribution
posted on 20.09.2018, 14:04 by Mehmet Balcilar, Rangan Gupta, Duc K. Nguyen, Mark Wohar
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.

History

School

  • Business and Economics

Department

  • Business

Published in

Applied Economics

Volume

50

Issue

53

Pages

5712-5727

Citation

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 & Francis

Version

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/10.1080/00036846.2018.1488062

Publication date

2018-06-21

Copyright date

2018

ISSN

0003-6846

eISSN

1466-4283

Language

en