Yang, Zheng; Tu, Anthony H.; Zeng, Yong - In: Applied Economics 46 (2014) 11, pp. 1184-1201
This article applies the Granger causality test in quantiles to investigate causal relations between stock returns and exchange rate changes for nine Asian markets over the period 1 January 1997 to 16 August 2010. Our empirical results indicate that the quantile causal relations vary across...