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Quantiles autocorrelation in stock markets returns

  • 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):

    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.

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    File URL: http://www.accessecon.com/Pubs/EB/2012/Volume32/EB-12-V32-I3-P200.pdf
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    Article provided by AccessEcon in its journal Economics Bulletin.

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

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    Handle: RePEc:ebl:ecbull:eb-12-00469
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    1. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    2. Cai, Zongwu & Xiao, Zhijie, 2012. "Semiparametric quantile regression estimation in dynamic models with partially varying coefficients," Journal of Econometrics, Elsevier, vol. 167(2), pages 413-425.
    3. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
    4. Chia-Chang Chuang & Chung-Ming Kuan & Hsin-yi Lin, 2007. "Causality in Quantiles and Dynamic Stock Return-Volume Relations," IEAS Working Paper : academic research 07-A006, Institute of Economics, Academia Sinica, Taipei, Taiwan.
    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, 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, vol. 25(2), pages 383-417, May.
    7. 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.
    8. 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.
    9. Campbell, Rachel A.J. & Forbes, Catherine S. & Koedijk, Kees G. & Kofman, Paul, 2008. "Increasing correlations or just fat tails?," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 287-309, March.
    10. 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.
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