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

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Cited by:

  1. Mehmet Balcilar & Elie Bouri & Rangan Gupta & Mark E. Wohar, 2020. "Mortgage Default Risks and High-Frequency Predictability of the U.S. Housing Market: A Reconsideration," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 26(2), pages 111-117, December.
  2. Mehmet Balcilar & Elie Bouri & Rangan Gupta & Christian Pierdzioch, 2021. "El Niño, La Niña, and the Forecastability of the Realized Variance of Heating Oil Price Movements," Sustainability, MDPI, vol. 13(14), pages 1-23, July.
  3. Lee, Chien-Chiang & Olasehinde-Williams, Godwin & Özkan, Oktay, 2023. "Geopolitical oil price uncertainty transmission into core inflation: Evidence from two of the biggest global players," Energy Economics, Elsevier, vol. 126(C).
  4. Riza Demirer & Rangan Gupta & Qiang Ji & Aviral Kumar Tiwari, 2018. "Geopolitical Risks and the Predictability of Regional Oil Returns and Volatility," Working Papers 201860, University of Pretoria, Department of Economics.
  5. Rangan Gupta & Yuvana Jaichand & Christian Pierdzioch & Reneé van Eyden, 2023. "Realized Stock-Market Volatility of the United States and the Presidential Approval Rating," Mathematics, MDPI, vol. 11(13), pages 1-27, July.
  6. Khan, Nasir & Saleem, Asima & Ozkan, Oktay, 2023. "Do geopolitical oil price risk influence stock market returns and volatility of Pakistan: Evidence from novel non-parametric quantile causality approach," Resources Policy, Elsevier, vol. 81(C).
  7. Chuliá, Helena & Koser, Christoph & Uribe, Jorge M., 2021. "Analyzing the Nonlinear Pricing of Liquidity Risk according to the Market State," Finance Research Letters, Elsevier, vol. 38(C).
  8. Balcilar, Mehmet & Bathia, Deven & Demirer, Riza & Gupta, Rangan, 2021. "Credit ratings and predictability of stock return dynamics of the BRICS and the PIIGS: Evidence from a nonparametric causality-in-quantiles approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 290-302.
  9. Balcilar, Mehmet & Usman, Ojonugwa & Gungor, Hasan & Roubaud, David & Wohar, Mark E., 2021. "Role of global, regional, and advanced market economic policy uncertainty on bond spreads in emerging markets," Economic Modelling, Elsevier, vol. 102(C).
  10. Faisal Alqahtani & Nader Trabelsi & Nahla Samargandi & Syed Jawad Hussain Shahzad, 2020. "Tail Dependence and Risk Spillover from the US to GCC Banking Sectors," Mathematics, MDPI, vol. 8(11), pages 1-18, November.
  11. Rangan Gupta, 2018. "Manager Sentiment and Stock Market Volatility," Working Papers 201853, University of Pretoria, Department of Economics.
  12. Riza Demirer & Rangan Gupta & Jacobus Nel & Christian Pierdzioch, 2020. "Effect of Rare Disaster Risks on Crude Oil: Evidence from El Nino from Over 140 Years of Data," Working Papers 2020104, University of Pretoria, Department of Economics.
  13. Demirer, Riza & Gabauer, David & Gupta, Rangan & Nielsen, Joshua, 2024. "Gold, platinum and the predictability of bubbles in global stock markets," Resources Policy, Elsevier, vol. 90(C).
  14. Godwin Olasehinde-Williams & Ifedola Olanipekun & Oktay Özkan, 2024. "Stock Market Response to Quantitative Easing: Evidence from the Novel Rolling Windows Nonparametric Causality-in-Quantiles Approach," Computational Economics, Springer;Society for Computational Economics, vol. 64(2), pages 947-977, August.
  15. Plakandaras, Vasilios & Gupta, Rangan & Balcilar, Mehmet & Ji, Qiang, 2022. "Evolving United States stock market volatility: The role of conventional and unconventional monetary policies," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
  16. Chuliá, Helena & Gupta, Rangan & Uribe, Jorge M. & Wohar, Mark E., 2017. "Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 178-191.
  17. Balcilar, Mehmet & Gupta, Rangan & Sousa, Ricardo M. & Wohar, Mark E., 2021. "Linking U.S. State-level housing market returns, and the consumption-(Dis)Aggregate wealth ratio," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 779-810.
  18. Rangan Gupta & Hardik A. Marfatia & Eric Olson, 2020. "Effect of uncertainty on U.S. stock returns and volatility: evidence from over eighty years of high-frequency data," Applied Economics Letters, Taylor & Francis Journals, vol. 27(16), pages 1305-1311, September.
  19. Bouri, Elie & Gupta, Rangan & Kyei, Clement Kweku & Shivambu, Rinsuna, 2021. "Uncertainty and daily predictability of housing returns and volatility of the United States: Evidence from a higher-order nonparametric causality-in-quantiles test," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 200-206.
  20. Rangan Gupta & Jacobus Nel & Joshua Nielsen & Christian Pierdzioch, 2023. "Stock Market Volatility and Multi-Scale Positive and Negative Bubbles," Working Papers 202310, University of Pretoria, Department of Economics.
  21. Salisu, Afees A. & Gupta, Rangan & Nel, Jacobus & Bouri, Elie, 2022. "The (Asymmetric) effect of El Niño and La Niña on gold and silver prices in a GVAR model," Resources Policy, Elsevier, vol. 78(C).
  22. Balcilar, Mehmet & Gupta, Rangan & Wang, Shixuan & Wohar, Mark E., 2020. "Oil price uncertainty and movements in the US government bond risk premia," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
  23. Elie Bouri & Rangan Gupta & Hardik A. Marfatia & Jacobus Nel, 2022. "Do Climate Risks Predict US Housing Returns and Volatility? Evidence from a Quantiles-Based Approach," Working Papers 202240, University of Pretoria, Department of Economics.
  24. Pata, Ugur Korkut & Yilanci, Veli & Zhang, Qianxiao & Shah, Syed Ale Raza, 2022. "Does financial development promote renewable energy consumption in the USA? Evidence from the Fourier-wavelet quantile causality test," Renewable Energy, Elsevier, vol. 196(C), pages 432-443.
  25. Bouri, Elie & Jalkh, Naji, 2023. "Spillovers of joint volatility-skewness-kurtosis of major cryptocurrencies and their determinants," International Review of Financial Analysis, Elsevier, vol. 90(C).
  26. Riza Demirer & David Gabauer & Rangan Gupta & Joshua Nielsen, 2023. "Gold-to-Platinum Price Ratio and the Predictability of Bubbles in Financial Markets," Working Papers 202317, University of Pretoria, Department of Economics.
  27. Elie Bouri & Oguzhan Cepni & Rangan Gupta & Ruipeng Liu, 2024. "Supply Chain Constraints and the Predictability of the Conditional Distribution of International Stock Market Returns and Volatility," Working Papers 202440, University of Pretoria, Department of Economics.
  28. Christou, Christina & Cunado, Juncal & Gupta, Rangan & Hassapis, Christis, 2017. "Economic policy uncertainty and stock market returns in PacificRim countries: Evidence based on a Bayesian panel VAR model," Journal of Multinational Financial Management, Elsevier, vol. 40(C), pages 92-102.
  29. Fasanya, Ismail O. & Oliyide, Johnson A. & Adekoya, Oluwasegun B. & Agbatogun, Taofeek, 2021. "How does economic policy uncertainty connect with the dynamic spillovers between precious metals and bitcoin markets?," Resources Policy, Elsevier, vol. 72(C).
  30. Balcilar, Mehmet & Gupta, Rangan & Nel, Jacobus, 2022. "Rare disaster risks and gold over 700 years: Evidence from nonparametric quantile regressions," Resources Policy, Elsevier, vol. 79(C).
  31. Rangan Gupta & Mark Wohar, 2019. "The role of monetary policy uncertainty in predicting equity market volatility of the United Kingdom: evidence from over 150 years of data," Economics and Business Letters, Oviedo University Press, vol. 8(3), pages 138-146.
  32. Rangan Gupta & Damien Moodley, 2023. "Housing Search Activity and Quantiles-Based Predictability of Housing Price Movements in the United States," Working Papers 202335, University of Pretoria, Department of Economics.
  33. Raggad, Bechir & Bouri, Elie, 2023. "Gold and crude oil: A time-varying causality across various market conditions," Resources Policy, Elsevier, vol. 86(PA).
  34. Ugur Korkut Pata & Ojonugwa Usman & Godwin Olasehinde-Williams & Oktay Ozkan, 2024. "Stock Returns, Crude Oil and Gold Prices in Turkey: Evidence from Rolling Window-Based Nonparametric Quantile Causality Test," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(3), pages 779-797, September.
  35. Zhuhua Jiang & Rangan Gupta & Sowmya Subramaniam & Seong-Min Yoon, 2021. "The Effect of Air Quality and Weather on the Chinese Stock: Evidence from Shenzhen Stock Exchange," Sustainability, MDPI, vol. 13(5), pages 1-20, March.
  36. Massaporn Cheuathonghua & Chaiyuth Padungsaksawasdi & Pattana Boonchoo & Jittima Tongurai, 2019. "Extreme spillovers of VIX fear index to international equity markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(1), pages 1-38, March.
  37. Jose A. Pérez-Montiel & Andreu Sansó & Oguzhan Ozcelebi & Riccardo Pariboni, 2023. "Autonomous and induced demand in the United States: a long-run perspective," Journal of Evolutionary Economics, Springer, vol. 33(4), pages 1237-1257, September.
  38. Mehmet Balcilar & Riza Demirer, 2022. "U.S. monetary policy and the predictability of global economic synchronization patterns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(3), pages 473-492, July.
  39. Olanipekun, Ifedolapo Olabisi & Ozkan, Oktay & Olasehinde-Williams, Godwin, 2023. "Is renewable energy use lowering resource-related uncertainties?," Energy, Elsevier, vol. 271(C).
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