scholarly journals Testing for Stock Market Contagion: A Quantile Regression Approach

2015 ◽  
Author(s):  
Sungyong Park ◽  
Wendun Wang ◽  
Naijing Huang
Keyword(s):  
Stock Market ◽  
Quantile Regression ◽  
Regression Approach ◽  
Market Contagion

scholarly journals Exchange Rate, Gold Price, and Stock Market Nexus: A Quantile Regression Approach

Risks ◽  
2020 ◽  
Vol 8 (3) ◽  
pp. 86
Author(s):  
Rizwan Ali ◽  
Inayat Ullah Mangla ◽  
Ramiz Ur Rehman ◽  
Wuzhao Xue ◽  
Muhammad Akram Naseem ◽  
...  
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Quantile Regression ◽  
Stock Returns ◽  
Emerging Market ◽  
Empirical Relationship ◽  
Gold Price ◽  
Stock Market Performance ◽  
Regression Approach ◽  
The Exchange Rate

In this study, we examine an empirical relationship between stock market volatility with the exchange rate and gold prices of an emerging market, “Pakistan”, employing daily and monthly data (PSX-100 Index) covering from 2001: Q3 to 2018: Q2. The study explains the average stock returns by applying MGARCH. Further, it investigates that the volatility in the exchange rate (Rs/US $) and gold prices remain equally strong in bearish and bullish conditions of the stock market by using a quantile regression approach (2001–2018). Additionally, the sample period is divided into two split samples that cover (2001–2007) and (2008–2018) respectively, based on global financial crises and applied similar analysis. The overall results show the negative impact of the exchange rate and gold price volatility on the stock market performance daily (monthly), supporting the argument that the stock market considers the exchange rate and gold price fluctuations as an adverse indicator and reacts negatively.

US stock market sensitivity to interest and inflation rates: a quantile regression approach

2016 ◽  
Vol 48 (26) ◽  
pp. 2469-2481 ◽  
Author(s):  
Francisco Jareño ◽  
Román Ferrer ◽  
Stanislava Miroslavova
Keyword(s):  
Stock Market ◽  
Quantile Regression ◽  
Inflation Rates ◽  
Regression Approach
Sign in / Sign up

Export Citation Format

Share Document