Does country risks predict stock returns and volatility? Evidence from a nonparametric approach

dc.contributor.authorSuleman, Tahir
dc.contributor.authorGupta, Rangan
dc.contributor.authorBalcilar, Mehmet
dc.contributor.emailrangan.gupta@up.ac.zaen_ZA
dc.date.accessioned2018-01-15T10:54:17Z
dc.date.issued2017-12
dc.description.abstractWe use the k-th order nonparametric causality test at monthly frequency over the period of 1984:1–2015:12 to analyze whether aggregate country risk, and its components (economic, financial and political) can predict movements in stock returns and volatility of eighty-three developed and developing economies. The nonparametric approach controls for the existing misspecification of a linear framework of causality, and hence, the weak evidence of causality obtained under the standard Granger tests cannot be relied upon. When we apply the nonparametric test, we find that, while there is no evidence of predictability of squared stock returns barring one case, at times, there are nearly 50 percent of the countries where the aggregate risks and its components tend to predict stock returns and realized volatility.en_ZA
dc.description.departmentEconomicsen_ZA
dc.description.embargo2018-12-30
dc.description.librarianhj2018en_ZA
dc.description.urihttp://www.elsevier.com/locate/ribafen_ZA
dc.identifier.citationSuleman, T., Gupta, R. & Balcilar, M. 2017, 'Does country risks predict stock returns and volatility? Evidence from a nonparametric approach', Research in International Business and Finance, vol. 42, pp. 1173-1195.en_ZA
dc.identifier.issn0275-5319 (online)
dc.identifier.other10.1016/j.ribaf.2017.07.055
dc.identifier.urihttp://hdl.handle.net/2263/63545
dc.language.isoenen_ZA
dc.publisherElsevieren_ZA
dc.rights© 2017 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Research in International Business and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Research in International Business and Finance, vol. 42, pp. 1173-1195, 2017. doi : 10.1016/j.ribaf.2017.07.055.en_ZA
dc.subjectCountry risksen_ZA
dc.subjectReturnsen_ZA
dc.subjectVolatilityen_ZA
dc.subjectNonparametric higher-order causalityen_ZA
dc.titleDoes country risks predict stock returns and volatility? Evidence from a nonparametric approachen_ZA
dc.typePostprint Articleen_ZA

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