Does US news impact Asian emerging markets? Evidence from nonparametric causality-in-quantiles test

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Authors

Balcilar, Mehmet
Cakan, Esin
Gupta, Rangan

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Journal ISSN

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Publisher

Elsevier

Abstract

This paper aims to analyze whether US news on inflation and unemployment causes returns and volatility of seven emerging Asian stock markets from 1994 to 2014, by employing the causality-in-quantile approach. We find evidence that US news affect returns and/or volatility of all the seven stock markets considered, with these effects clustered around the tails of the conditional distribution of returns and volatility when they are either in bear or bull modes. In general, our results highlight the importance of modeling nonlinearity and studying entire conditional distributions of stock returns and volatility to draw correct inferences.

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Keywords

Nonparametric quantile causality, Emerging Asian markets, Macroeconomic news, Surprises, Prices, Information, Communication, Volatility, Monetary policy, Financial markets, Economic policy uncertainty, Stock return predictability

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Citation

Balcilar, M., Cakan, E. & Gupta, R. 2017, 'Does US news impact Asian emerging markets? Evidence from nonparametric causality-in-quantiles test', North American Journal of Economics and Finance, vol. 41, pp. 32-43.