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首页> 外文期刊>The North American journal of economics and finance >Asymmetric dependence structures for regional stock markets: An unconditional quantile regression approach
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Asymmetric dependence structures for regional stock markets: An unconditional quantile regression approach

机译：区域股票市场的不对称依赖结构：无条件的分位数回归方法

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摘要

Owing to the asymmetry of stock markets, this study investigates the dependence structures for six regional stock markets according to different market conditions by applying the unconditional quantile regression (UQR) approach. This approach can address the traditional conditional quantile regression (CQR) approach's limitation that its distributions are defined conditional on specific covariates. Specifically, we not only examine the detailed linkages among these six regional stock markets, but also explore the effect of global economic factors on them, given the strengthening of both international investment and the globalization of financial markets. The results show these dependence structures are often an asymmetric U-shaped or inverted U-shaped structure, which indicates that the impacts of both other geographically and economically close stock markets and economic factors are more pronounced during bear and bull markets than during normal markets, especially so in bear markets. Moreover, the UQR approach provides stronger extreme-value relationships and more significant asymmetric effects than the traditional CQR approach.
机译：由于股票市场的不对称，本研究通过应用无条件的分位数回归（UQR）方法来调查六个区域股市的依赖结构。这种方法可以解决传统的条件分位数回归（CQR）方法的限制，即其分布在特定的协变量上定义了条件。具体而言，鉴于加强国际投资和金融市场全球化，鉴于国际投资和全球化，我们不仅审查了这六个区域股市之间的详细联系，还探讨了全球经济因素对他们的影响。结果表明这些依赖结构通常是不对称的U形或倒U形结构，这表明在熊和牛市期间，其他地理位置和经济上储存市场和经济因素的影响比在正常市场期间更明显，特别是熊市。此外，UQR方法提供了更强的极值关系和比传统的CQR方法更重要的不对称效果。

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