Download or read book The Quantile Regression Approach to Analysis of Dynamic Interaction Between Exchange Rate and Stock Returns in Emerging Markets written by Shekhar Mishra and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The present paper examines the dynamic interaction between stock returns and exchange rate changes in the emerging economies of BRIC (Brazil, Russia, India and China). The paper tries to analyze the portfolio balance effect according to which the two variables are expected to be negatively related. Since under non-normality conditions and heterogeneous conditional distribution, estimation using Ordinary Least Squares (OLS) method may be biased and not much favorable, quantile regression model is adopted to analyze the relationship between stock returns and exchange rate changes. The estimation shows similar patterns with significantly negative coefficients obtained from different quantile functions for Brazil, Russia and India. However, for China the coefficients are not so significantly negative. The negative coefficients indicate adherence of markets to portfolio balance effect. However, the coefficients can vary according to changing market conditions.
Download or read book Examining the Dynamic Relationship Between Volatility and Stock Returns Using Quantile Regression Approach written by 楊青融 and published by . This book was released on 2009 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Quantile Regression for Cross Sectional and Time Series Data written by Jorge M. Uribe and published by Springer Nature. This book was released on 2020-03-30 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: This brief addresses the estimation of quantile regression models from a practical perspective, which will support researchers who need to use conditional quantile regression to measure economic relationships among a set of variables. It will also benefit students using the methodology for the first time, and practitioners at private or public organizations who are interested in modeling different fragments of the conditional distribution of a given variable. The book pursues a practical approach with reference to energy markets, helping readers learn the main features of the technique more quickly. Emphasis is placed on the implementation details and the correct interpretation of the quantile regression coefficients rather than on the technicalities of the method, unlike the approach used in the majority of the literature. All applications are illustrated with R.
Download or read book Dynamics Between Exchange Rates and Stock Prices written by Van-Hop Nguyen and published by . This book was released on 2019 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the long- and short-run dynamics between exchange rates and stock prices by using cointegration methodology and multivariate Granger causality tests. We apply the analysis to six countries, including: Japan, United Kingdom, Hong Kong, China, India and Brazil over the period December 2007 to May 2013. The evidence suggests that the global financial crisis 2007-2009 is an important determinant of the link between the domestic stock and foreign exchange markets. The exchange rate is negatively related to the domestic stock market for emerging countries but positively for developed countries for entire sample and during the crisis. However, this relationship became positive for all countries after the crisis, except United Kingdom. The finding also indicates that the exchange rate movements contain some significant information to forecast the stock returns of these markets.
Download or read book The Relationship Between Stock Price Index and Exchange Rate in Asian Markets written by Arif Billah Dar and published by . This book was released on 2013 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use data set of five Asian countries to estimate the frequency and quantile based relationship between stock price index and exchange rate. We apply simple correlation and wavelet based correlation and in accordance with the portfolio balance effect, we find that the two variables are negatively related at all frequencies. Moreover it is found that correlation grows stronger with higher time scales. We further apply quantile regression to observe the various relationships between stock and foreign exchange markets at different quantiles of exchange rates. The results show an interesting pattern in the relation of these two markets in Asia, which indicates that the negative relation is asymmetric across different quantiles of exchange rates and more obvious when exchange rates are extremely low or both high and low.
Download or read book Economic Applications of Quantile Regression written by Bernd Fitzenberger and published by Springer Science & Business Media. This book was released on 2001-12-14 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantile regression has emerged as an essential statistical tool of contemporary empirical economics and biostatistics. Complementing classical least squares regression methods which are designed to estimate conditional mean models, quantile regression provides an ensemble of techniques for estimating families of conditional quantile models, thus offering a more complete view of the stochastic relationship among variables. This volume collects 12 outstanding empirical contributions in economics and offers an indispensable introduction to interpretation, implementation, and inference aspects of quantile regression.
Download or read book A Quantile Regression Analysis of the Cross Section of Stock Market Returns written by Michelle L. Barnes and published by . This book was released on 2002 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Handbook of Quantile Regression written by Roger Koenker and published by CRC Press. This book was released on 2017-10-12 with total page 463 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantile regression constitutes an ensemble of statistical techniques intended to estimate and draw inferences about conditional quantile functions. Median regression, as introduced in the 18th century by Boscovich and Laplace, is a special case. In contrast to conventional mean regression that minimizes sums of squared residuals, median regression minimizes sums of absolute residuals; quantile regression simply replaces symmetric absolute loss by asymmetric linear loss. Since its introduction in the 1970's by Koenker and Bassett, quantile regression has been gradually extended to a wide variety of data analytic settings including time series, survival analysis, and longitudinal data. By focusing attention on local slices of the conditional distribution of response variables it is capable of providing a more complete, more nuanced view of heterogeneous covariate effects. Applications of quantile regression can now be found throughout the sciences, including astrophysics, chemistry, ecology, economics, finance, genomics, medicine, and meteorology. Software for quantile regression is now widely available in all the major statistical computing environments. The objective of this volume is to provide a comprehensive review of recent developments of quantile regression methodology illustrating its applicability in a wide range of scientific settings. The intended audience of the volume is researchers and graduate students across a diverse set of disciplines.
Download or read book Intra Day Dynamics of Exchange Rates written by Konstantin Kuck and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study provides a comprehensive description of the intra-day dynamics of major US-Dollar spot exchange rates. We use quantile autoregression to investigate the presence of (non-)linear temporal dependence in foreign exchange returns at various intra-daily time-horizons, ranging from ten minutes up to three hours. Specifically, we investigate an 11-year long sample of non-intermittent high frequency returns for the Euro (EUR), the British Pound (GBP) and the Japanese Yen (JPY) against the US-Dollar (USD). In contrast to previous studies, we find the temporal dependence of intra-daily foreign exchange returns to be non-linear and symmetrically U-shaped. Specifically, we observe pronounced negative autocorrelation for moderate USD appreciations and depreciations (central quantiles). For extreme positive and negative USD movements, we detect positive autocorrelation. This symmetric non-linear form of temporal dependence is remarkably stable across different exchange rates and states of the market. It appears to be a unique feature of foreign exchange returns and might be related to the fundamental 'two-sidedness' of foreign exchange markets.
Download or read book Emerging Market Return Pricing written by Bruno Milani and published by . This book was released on 2015 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this study is to analyze the return pricing dynamics in six Latin American countries based on the ICAPM model of Merton (1973) and Bekaert and Harvey (1995). We analyze Argentina, Brazil, Chile, Colombia, Mexico and Peru market return and a world market proxy return as a measure of systematic risk. However, instead of traditional covariance, we used the Dynamic Conditional Correlation (DCC) model of Engle (2002) to measure the volatility correlation between each Latin market and the world market. We based the DCC model on marginal volatilities estimated by the GJR-GARCH model (Glosten, Jagannathan and Runkle, 1993), using a copula function. The copula-DCC-GARCH model was proposed with a financial application by Jondeau & Rockinger (2006). The univariate volatility and an autoregressive vector were also included as independent variables in the model, which coefficients were estimated by quantile regression. The results reveal a breakthrough because the model can capture relationships that were previously masked by the coefficients steadiness and by the lack of consideration over the differences in extreme quantiles pricing. In the lower quantile, negative risk premium was found, reflecting the leverage effect. Furthermore, we found that the quantile correlation coefficients between each market return proxy and the world return proxy were not significant, i.e, only the market own risk is priced, what indicates that Latin markets may present a good diversification opportunity.
Download or read book Quantile Regression written by Marilena Furno and published by John Wiley & Sons. This book was released on 2018-07-18 with total page 311 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contains an overview of several technical topics of Quantile Regression Volume two of Quantile Regression offers an important guide for applied researchers that draws on the same example-based approach adopted for the first volume. The text explores topics including robustness, expectiles, m-quantile, decomposition, time series, elemental sets and linear programming. Graphical representations are widely used to visually introduce several issues, and to illustrate each method. All the topics are treated theoretically and using real data examples. Designed as a practical resource, the book is thorough without getting too technical about the statistical background. The authors cover a wide range of QR models useful in several fields. The software commands in R and Stata are available in the appendixes and featured on the accompanying website. The text: Provides an overview of several technical topics such as robustness of quantile regressions, bootstrap and elemental sets, treatment effect estimators Compares quantile regression with alternative estimators like expectiles, M-estimators and M-quantiles Offers a general introduction to linear programming focusing on the simplex method as solving method for the quantile regression problem Considers time-series issues like non-stationarity, spurious regressions, cointegration, conditional heteroskedasticity via quantile regression Offers an analysis that is both theoretically and practical Presents real data examples and graphical representations to explain the technical issues Written for researchers and students in the fields of statistics, economics, econometrics, social and environmental science, this text offers guide to the theory and application of quantile regression models.
Download or read book Internationalization of Emerging Market Currencies written by Mr.Faisal Ahmed and published by International Monetary Fund. This book was released on 2011-10-19 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Staff Discussion Notes showcase the latest policy-related analysis and research being developed by individual IMF staff and are published to elicit comment and to further debate. These papers are generally brief and written in nontechnical language, and so are aimed at a broad audience interested in economic policy issues. This Web-only series replaced Staff Position Notes in January 2011.
Download or read book A Quantile Regression Analysis of the Cross Section of Stock Market Returns written by Michelle L. Barnes and published by . This book was released on 2010 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Traditional methods of modelling returns and testing the Capital Asset Pricing Model (CAPM) do so at the mean of the conditional distribution. Instead, we model returns and test whether the conditional CAPM holds at other points of the distribution by utilizing the technique of quantile regression (Koenker and Bassett 1978). This method allows us to model the performance of firms or portfolios that underperform or overperform in the sense that the conditional mean under- or overpredicts the firm's return. In the context of a conditional CAPM, the market price of beta risk is significant in both tails of the conditional distribution of returns - negative for firms that underperform and positive for firms that overperform - but is insignificant around the median, and the opposite pattern obtains for large firms. Underperforming firms exhibit a positive relationship between size and returns in support of Merton's (1987) prediction, and there is some evidence of a positive relationship between returns and financial paper for overperforming firms. Quantile regression alleviates some of the statistical problems which plague CAPMstudies: errors invariables; omitted variables bias; sensitivity to outliers; and non-normal error distributions.
Download or read book Evidence of Stock Returns and Abnormal Trading Volume written by Cathy W. S. Chen and published by . This book was released on 2015 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a CAPM-based threshold quantile regression model with GARCH specification to examine relations between stock excess returns and “abnormal trading volume.” By employing the Bayesian MCMC method with asymmetric Laplace distribution to six daily Dow Jones Industrial stocks, the proposed model captures asymmetric risk through market beta and volume coefficient that change discretely between regimes that are driven by market information and various quantile levels. This study finds significantly negative effects of abnormal volume on stock excess return under low quantile levels, nevertheless there are significantly positive effects under high quantile levels. The evidence indicates that each market beta varies with different quantile levels, capturing different states of market conditions.
Download or read book Time Varying Exchange Rate Exposure written by Prabhath Jayasinghe and published by . This book was released on 2015 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines exchange rate exposure of country level stock returns in three emerging market economies: Korea, Taiwan and Thailand. The analysis is carried out at country level using stock indexes and trade-weighted exchange rates. Time-varying exchange rate exposure coefficients are obtained by estimating a Multivariate GARCH-M model with explicit focus on the non-orthogonality between exchange rate changes and market returns. Findings of the paper indicate that, although they are likely to vary over time, exchange rate exposure coefficients for Korea and Taiwan follow mean-reverting long-memory processes. However, the exposure coefficient for Thailand is found to be characterized by a non-stationary unit root process. The presence of mean-reverting exchange rate exposure coefficients has important implications for investment and hedging strategies.
Download or read book On the Relationship Between Exchange Rates and Stock Prices written by Esin Cakan and published by . This book was released on 2014 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines dynamic linkages between the exchange rates and stock prices for twelve emerging market countries for the period from May 1994 to April 2010 by using linear and non-linear Granger causality tests. Our empirical results show that stock prices and exchange rates have linear and non-linear bi-directional causality in most cases. The exceptional countries are Brazil, Poland and Taiwan that there is no evidence for a nonlinear Granger causality from stock prices to exchange rates. The results support both the portfolio balance and the goods market theories for eight out of twelve countries.
Download or read book Quantile Regression Estimation of Stock Market Volatility and Its Causes written by Alabi Oluwapelumi and published by . This book was released on 2017 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock market volatility is the amount of uncertainty or risk about the size of changes in stock market security value. In this study, GARCH model was built to generate stock price volatility and quantile regression estimation was used to determine the cause of volatility in stock market at different quantile level. The study provides the graphical presentation of the coefficients estimated and the variables employed. The results of the study showed that the previous residuals (ARCH effect) are significantly contributed to stock market volatility at lower quantile level (0.1, 0.25, and 0.5) and the previous volatility significant only at higher quantile level (0.9), while only exchange rate return is significant among the external causes considered.
