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Computing regression quantiles to analysis the relationship between market behavior and political risk

  • Yi-Hsien Wang

    ()

  • Jui-Cheng Hung
  • Yen-Hsien Lee
  • Chung-Chu Chuang
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    No abstract is available for this item.

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    File URL: http://hdl.handle.net/10.1007/s11135-011-9447-8
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    Article provided by Springer in its journal Quality & Quantity.

    Volume (Year): 46 (2012)
    Issue (Month): 4 (June)
    Pages: 1047-1055

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    Handle: RePEc:spr:qualqt:v:46:y:2012:i:4:p:1047-1055
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    1. Michael C. Herron & James Lavin & Donald Cram & Jay Silver, 1999. "Measurement of Political Effects in the United States Economy: A Study of the 1992 Presidential Election," Economics and Politics, Wiley Blackwell, vol. 11(1), pages 51-81, 03.
    2. Lobo, Bento J., 1999. "Jump risk in the U.S. stock market: Evidence using political information," Review of Financial Economics, Elsevier, vol. 8(2), pages 149-163.
    3. Buchinsky, Moshe, 1994. "Changes in the U.S. Wage Structure 1963-1987: Application of Quantile Regression," Econometrica, Econometric Society, vol. 62(2), pages 405-58, March.
    4. Lobo, Bento J. & Tufte, David, 1998. "Exchange Rate Volatility: Does Politics Matter?," Journal of Macroeconomics, Elsevier, vol. 20(2), pages 351-365, April.
    5. Aggarwal, Reena & Inclan, Carla & Leal, Ricardo, 1999. "Volatility in Emerging Stock Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(01), pages 33-55, March.
    6. Kim, Harold Y. & Mei, Jianping P., 2001. "What makes the stock market jump? An analysis of political risk on Hong Kong stock returns," Journal of International Money and Finance, Elsevier, vol. 20(7), pages 1003-1016, December.
    7. Tirtiroglu, Dogan & Bhabra, Harjeet S. & Lel, Ugur, 2004. "Political uncertainty and asset valuation: Evidence from business relocations in Canada," Journal of Banking & Finance, Elsevier, vol. 28(9), pages 2237-2258, September.
    8. Moshe Buchinsky, 1998. "Recent Advances in Quantile Regression Models: A Practical Guideline for Empirical Research," Journal of Human Resources, University of Wisconsin Press, vol. 33(1), pages 88-126.
    9. Pedro Santa-Clara & Rossen Valkanov, 2003. "The Presidential Puzzle: Political Cycles and the Stock Market," Journal of Finance, American Finance Association, vol. 58(5), pages 1841-1872, October.
    10. Lamb, Reinhold P. & Ma, K. C. & Daniel Pace, R. & Kennedy, William F., 1997. "The congressional calendar and stock market performance," Financial Services Review, Elsevier, vol. 6(1), pages 19-25.
    11. Clark, Ephraim, 1997. "Valuing political risk," Journal of International Money and Finance, Elsevier, vol. 16(3), pages 477-490, June.
    12. Stephen R Foerster & John J Schmitz, 1997. "The Transmission of U.S. Election Cycles to International Stock Returns," Journal of International Business Studies, Palgrave Macmillan, vol. 28(1), pages 1-27, March.
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