Balcilar, MehmetCakan, EsinGupta, Rangan2017-08-292017-07Balcilar, 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. 32-43.1062-9408 (print)1879-0860 (online)10.1016/j.najef.2017.03.009http://hdl.handle.net/2263/62142This 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.en© 2017 Elsevier Ltd. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in North American Journal of Economics 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 North American Journal of Economics and Finance, vol. 41, pp. 32-43. 2017. doi : 10.1016/j.najef.2017.03.009.Nonparametric quantile causalityEmerging Asian marketsMacroeconomic newsSurprisesPricesInformationCommunicationVolatilityMonetary policyFinancial marketsEconomic policy uncertaintyStock return predictabilityPostprint Article