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Browsing BE – Journal Articles: Pre-Prints (Pre-Refereeing Author Versions) – Business and Economics by Subject "Return spillover"

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Causal Effects of the United States and Japan on Pacific-Rim Stock Markets: Nonparametric Quantile Causality Approach

Balcılar, Mehmet; Gupta, Rangan; Nguyen, Duc K.; Wohar, Mark E. (University of Pretoria, 2015-12)

This paper adopts a nonparametric quantile causality approach to examine the causal effects of the U.S. and Japan stock markets on the stock markets of the Pacific‐Rim region. This approach allows us to detect not only ...