Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach

This article adopts a nonparametric quantile causality approach to examine the causal effects of the U.S. and Japan stock markets on the stock markets of the Pacific-Rim region. This approach allows us to detect not only nonlinear causalities in conditional return (mean) and conditional volatility (...

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Bibliographic Details
Main Authors: Mehmet Balcilar, Rangan Gupta, Duc K. Nguyen, Mark Wohar
Format: Default Article
Published: 2018
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