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Testing for stock market contagion : a quantile regression approach

Park, Sungyong; Wang, Wendun; Huang, Naijing - 2015 - This version: March 25, 2015

Regarding the asymmetric and leptokurtic behavior of financial data, we propose a new contagion test in the quantile regression framework that is robust to model misspecification. Unlike conventional correlation-based tests, the proposed quantile contagion test allows us to investigate the stock...

Persistent link: https://www.econbiz.de/10010504111

Long- and short-run components of factor betas : implications for stock pricing

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun; … - In: Journal of international financial markets, … 74 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012803274

The dynamic extreme co-movement between Chinese stock market and global stock markets

Huang, Naijing; Huang, Zhigang; Wang, Weijia - In: Emerging markets, finance & trade : a journal of the … 55 (2019) 14, pp. 3241-3257

Persistent link: https://www.econbiz.de/10012211119

The influence of cultural distance on the volatility of the international stock market

Zhou, Xiaoguang; Cui, Yadi; Wu, Shihwei; Wang, Weiqing - In: Economic modelling 77 (2019), pp. 289-300

Persistent link: https://www.econbiz.de/10012198489

Long- and short-run components of factor betas : implications for equity pricing

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun; … - 2017

Persistent link: https://www.econbiz.de/10011750336

R&D value of Chinese manufacturing listed companies : based on the financial market's valuation of corporate assets

An, Tongliang; Wang, Wenyi - In: China political economy 1 (2018) 2, pp. 241-262

Purpose The way to measure the value of an enterprise's R&D investments remains elusive for theoretical and empirical study on innovation economics. The paper aims to discuss this issue. Design/methodology/approach This paper expands the asset-value model pioneered by Griliches (1981) and...

Persistent link: https://www.econbiz.de/10012233256

Does investor sentiment differently affect stocks in different sectors? : evidence from China

Niu, Hongli; Lu, Yao; Wang, Weiqing - In: International journal of emerging markets 18 (2023) 9, pp. 3224-3244

Persistent link: https://www.econbiz.de/10014452289

The emerging market crisis and stock market linkages : further evidence

Yang, Jian; Hsiao, Cheng; Li, Qi; Wang, Zijun - In: Journal of applied econometrics 21 (2006) 6, pp. 727-744

Persistent link: https://www.econbiz.de/10003387912

Media tone, bias, and stock price crash risk : evidence from China

Li, Qian; Wang, Jiamin; Bao, Liang - In: Asia-Pacific journal of accounting & economics : … 29 (2022) 1, pp. 1-35

Persistent link: https://www.econbiz.de/10012820809

Covid-19's adverse effects on a stock market index

Cao, Kang Hua; Li, Qiqi; Liu, Yun; Woo, Chi-keung - In: Applied economics letters 28 (2021) 14, pp. 1157-1161

Persistent link: https://www.econbiz.de/10012589981