Stock Market Autoregressive Dynamics: A Multinational Comparative Study with Quantile Regression. (29th September 2016)

• Record Type: Journal Article
• Authors: Li, Lili; Leng, Shan; Yang, Jun; Yu, Mei
• Other Names: Pandolfi Anna Academic Editor.
• Is Part Of: Mathematical problems in engineering. Volume 2016(2016)
• Publication Date: 2016-09-29
• Subjects: Engineering mathematics -- Periodicals; 510.2462
• DOI: 10.1155/2016/1285768
• Languages: English
• ISSNs: 1024-123X

Abstract

Abstract : We study the nonlinear autoregressive dynamics of stock index returns in seven major advanced economies (G7) and China. The quantile autoregression model (QAR) enables us to investigate the autocorrelation across the whole spectrum of return distribution, which provides more insightful conditional information on multinational stock market dynamics than conventional time series models. The relation between index return and contemporaneous trading volume is also investigated. While prior studies have mixed results on stock market autocorrelations, we find that the dynamics is usually state dependent. The results for G7 stock markets exhibit conspicuous similarities, but they are in manifest contrast to the findings on Chinese stock markets.