Dependence between the global gold market and emerging stock markets (E7+1): Evidence from Granger causality using quantile and quantile‐on‐quantile regression methods

World Economy ◽  
2019 ◽  
Vol 42 (7) ◽  
pp. 2172-2214 ◽  
Author(s):  
Aviral Kumar Tiwari ◽  
Adeolu O. Adewuyi ◽  
David Roubaud
Keyword(s):  
Quantile Regression ◽  
Granger Causality ◽  
Stock Markets ◽  
Regression Methods ◽  
Emerging Stock Markets ◽  
Gold Market

scholarly journals Do average higher moments predict aggregate returns in emerging stock markets?

2022 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Sumaira Chamadia ◽  
Mobeen Ur Rehman ◽  
Muhammad Kashif
Keyword(s):  
Quantile Regression ◽  
Stock Markets ◽  
Higher Order ◽  
Higher Moments ◽  
Excess Returns ◽  
Market Returns ◽  
Content Type ◽  
Emerging Stock Markets ◽  
The Impact ◽  
Skewness And Kurtosis

PurposeIt has been demonstrated in the US market that expected market excess returns can be predicted using the average higher-order moments of all firms. This study aims to empirically test this theory in emerging markets.Design/methodology/approachTwo measures of average higher moments have been used (equal-weighted and value-weighted) along with the market moments to predict subsequent aggregate excess returns using the linear as well as the quantile regression model.FindingsThe authors report that both equal-weighted skewness and kurtosis significantly predict subsequent market returns in two countries, while value-weighted average skewness and kurtosis are significant in predicting returns in four out of nine sample markets. The results for quantile regression show that the relationship between the risk variable and aggregate returns varies along the spectrum of conditional quantiles.Originality/valueThis is the first study that investigates the impact of third and fourth higher-order average realized moments on the predictability of subsequent aggregate excess returns in the MSCI Asian emerging stock markets. This study is also the first to analyze the sensitivity of future market returns over various quantiles.

Crises in Developed and Emerging Stock Markets

CFA Digest ◽  
1999 ◽  
Vol 29 (2) ◽  
pp. 61-63
Author(s):  
Laurie Effron
Keyword(s):  
Stock Markets ◽  
Emerging Stock Markets
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