Advanced Search
MyIDEAS: Login to save this article or follow this journal

Quantiles autocorrelation in stock markets returns

Contents:

Author Info

  • Paulo Sergio Ceretta

    ()
    (Federal University of Santa Maria)

  • Marcelo Brutti Righi

    ()
    (Federal University of Santa Maria)

  • Alexandre Silva Da costa

    ()
    (Federal University of Santa Maria)

  • Fernanda Maria Muller

    ()
    (Federal University of Santa Maria)

Registered author(s):

    Abstract

    Knowledge of dependence pattern in stock market has paramount importance for both theoretical and practical in financial markets. Their usefulness is wide, can be used in portfolio predictability (of portfolio) and risk management. The aim of this paper is to investigate the autoregressive dependence under the alternative perspective of quantile regression. Our study investigates a period from 2001 until 2012 daily returns of twenty stock markets in Latin America, Europe, USA and Asia-Pacific. Our results emphasize that the estimates obtained by quantile regression are different and more consistent than those by AR-GARCH. We conclude also that there is an asymmetric behavior of the investor, in association the quantiles with bear and bull markets.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.accessecon.com/Pubs/EB/2012/Volume32/EB-12-V32-I3-P200.pdf
    Download Restriction: no

    Bibliographic Info

    Article provided by AccessEcon in its journal Economics Bulletin.

    Volume (Year): 32 (2012)
    Issue (Month): 3 ()
    Pages: 2065-2075

    as in new window
    Handle: RePEc:ebl:ecbull:eb-12-00469

    Contact details of provider:

    Related research

    Keywords: Autocorrelation; Quantile regression; Stock returns.;

    Find related papers by JEL classification:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Cai, Zongwu & Xiao, Zhijie, 2012. "Semiparametric quantile regression estimation in dynamic models with partially varying coefficients," Journal of Econometrics, Elsevier, Elsevier, vol. 167(2), pages 413-425.
    2. Baur, Dirk G. & Dimpfl, Thomas & Jung, Robert C., 2012. "Stock return autocorrelations revisited: A quantile regression approach," University of Tuebingen Working Papers in Economics and Finance 24, University of Tuebingen, Faculty of Economics and Social Sciences.
    3. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, Econometric Society, vol. 48(4), pages 817-38, May.
    4. Campbell, Rachel A.J. & Forbes, Catherine S. & Koedijk, Kees G. & Kofman, Paul, 2008. "Increasing correlations or just fat tails?," Journal of Empirical Finance, Elsevier, Elsevier, vol. 15(2), pages 287-309, March.
    5. Baba, Naohiko & Packer, Frank, 2009. "From turmoil to crisis: Dislocations in the FX swap market before and after the failure of Lehman Brothers," Journal of International Money and Finance, Elsevier, Elsevier, vol. 28(8), pages 1350-1374, December.
    6. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, American Finance Association, vol. 25(2), pages 383-417, May.
    7. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2012. "Analysis of the Tail Dependence Structure in the Global Markets: A Pair Copula Construction Approach," Economics Bulletin, AccessEcon, vol. 32(2), pages 1151-1161.
    8. Chia-Chang Chuang & Chung-Ming Kuan & Hsin-yi Lin, 2007. "Causality in Quantiles and Dynamic Stock Return-Volume Relations," IEAS Working Paper : academic research, Institute of Economics, Academia Sinica, Taipei, Taiwan 07-A006, Institute of Economics, Academia Sinica, Taipei, Taiwan.
    9. Naohiko Baba & Frank Packer, 2009. "From turmoil to crisis: dislocations in the FX swap market before and after the failure of Lehman Brothers," BIS Working Papers 285, Bank for International Settlements.
    10. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, Econometric Society, vol. 46(1), pages 33-50, January.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-12-00469. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (John P. Conley).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.