Research Repository

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Detecting overreaction in the Bitcoin market: a quantile autoregression approach (2018)
Journal Article
Chevapatrakul, T., & Mascia, D. V. (2018). Detecting overreaction in the Bitcoin market: a quantile autoregression approach. Finance Research Letters, doi:10.1016/j.frl.2018.11.004

We examine the persistence of returns on Bitcoin at different parts on the return distributions through the use of the quantile autoregressive (QAR) models. We find lower quantiles of the daily return distribution and upper quantiles of the weekly re... Read More

The impact of tail risk on stock market returns: the role of market sentiment (2018)
Journal Article
Chevaptrakul, T., Xu, Z., & Yao, K. (2018). The impact of tail risk on stock market returns: the role of market sentiment. International Review of Economics and Finance, doi:10.1016/j.iref.2018.09.005. ISSN 1059-0560

We examine the return predictability of time-varying extreme-event risk at the different points on the return distribution using quantile regression. We find evidence of strong predictive power at the lower quantiles for forecast horizons of up to on... Read More

Customer financing, bargaining power and trade credit uptake (2018)
Journal Article
Mateut, S., & Chevapatrakul, T. (2018). Customer financing, bargaining power and trade credit uptake. International Review of Financial Analysis, 59, (147-162). doi:10.1016/j.irfa.2018.07.004. ISSN 1057-5219

We investigate the impact of well-established trade credit theories on different parts of the distribution of trade credit taken by firms. Our results suggest that the trade credit – bank loans substitution increases at the higher trade credit quanti... Read More

Monetary environments and stock returns: international evidence based on the quantile regression technique (2015)
Journal Article
Chevapatrakul, T. (2015). Monetary environments and stock returns: international evidence based on the quantile regression technique. International Review of Financial Analysis, 38, 83-108. doi:10.1016/j.irfa.2015.01.013

This paper investigates the impact of the local and the US monetary policy environments on stock returns at the different locations on the return distributions. Using data for stock returns and interest rates of 30 countries, the quantile regression... Read More