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 (...

Full description

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
Tags:	Add Tag No Tags, Be the first to tag this record!