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

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 (...

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Bibliographic Details
Main Authors: Mehmet Balcilar, Rangan Gupta, Duc K. Nguyen, Mark Wohar
Format: Default Article
Published: 2018
Subjects:
Other commerce, management, tourism and services not elsewhere classified
Causality in return
Causality in variance
Equity markets
Pacific-Rim
Business and Management not elsewhere classified
Online Access:https://hdl.handle.net/2134/34984
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https://hdl.handle.net/2134/34984

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