scholarly journals Higher co-moments and asset pricing on emerging stock markets by quantile regression approach

2018 ◽  
Vol 14 (1) ◽  
pp. 132-142
Author(s):  
Toan Huynh Luu Duc ◽  
Sang Phu Nguyen
Keyword(s):  
Asset Pricing ◽  
Quantile Regression ◽  
Stock Markets ◽  
Emerging Stock Markets ◽  
Regression Approach

Emerging Stock Markets and International Asset Pricing

1995 ◽  
Vol 9 (1) ◽  
pp. 51-74 ◽  
Author(s):  
Elaine Buckberg
Keyword(s):  
Asset Pricing ◽  
Stock Markets ◽  
International Asset Pricing ◽  
Emerging Stock Markets

Spillovers from the USA to stock markets in Asia: a quantile regression approach

2015 ◽  
Vol 47 (44) ◽  
pp. 4714-4727 ◽  
Author(s):  
Robert Maderitsch
Keyword(s):  
Quantile Regression ◽  
Stock Markets ◽  
Regression Approach ◽  
The Usa

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.

Review of Stock Markets' Reaction to COVID-19 News: Fresh Evidence from Quantile-On-Quantile Regression Approach

2020 ◽  
Author(s):  
Ferhat Çıtak ◽  
Bugra Bagci ◽  
Eyyüp Ensari Şahin ◽  
Safa Hoş ◽  
İlker Sakinc
Keyword(s):  
Quantile Regression ◽  
Stock Markets ◽  
Regression Approach

scholarly journals Do global factors impact BRICS stock markets? A quantile regression approach

2014 ◽  
Vol 19 ◽  
pp. 1-17 ◽  
Author(s):  
Walid Mensi ◽  
Shawkat Hammoudeh ◽  
Juan Carlos Reboredo ◽  
Duc Khuong Nguyen
Keyword(s):  
Quantile Regression ◽  
Stock Markets ◽  
Regression Approach
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