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초록
영어
Using the novel methods of the conditional nonlinear quantile regression and pairwise realised moments, we aim to shed lights on its economic drivers on dynamic integration of stock markets in the Pacific basin for the full sample periods 1990-2012. We find empirical evidence that the recent integration of stock markets in the Pacific basin region have been significantly driven by the lower differences (i.e., higher similarities) of a variety of the economic performances between sample countries over the recent decades. In particular, this study suggests an interesting existence of nonlinearities for the effects of the economic drivers on the integration of stock markets in this region.
목차
Abstract
1. Introduction
2. Literature review
3. Methodology
3.1 Measuring time varying integration
3.2 Theoretical background for drivers of stock market integration
3.3 The Conditional nonlinear quantile regression
3.4 The conditional quantile regression specified for its drivers
4. Data Issues
4.1 Stock returns
4.2 Exogenous economic variables for its drivers
4.3 Crisis dummies for global risks
5. Empirical results
6. Summary and concluding remarks
References
Figure
Table
1. Introduction
2. Literature review
3. Methodology
3.1 Measuring time varying integration
3.2 Theoretical background for drivers of stock market integration
3.3 The Conditional nonlinear quantile regression
3.4 The conditional quantile regression specified for its drivers
4. Data Issues
4.1 Stock returns
4.2 Exogenous economic variables for its drivers
4.3 Crisis dummies for global risks
5. Empirical results
6. Summary and concluding remarks
References
Figure
Table
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참고문헌
자료제공 : 네이버학술정보