Monetary environments and stock returns revisited: A quantile regression approach

Chevapatrakul, Thanaset

doi:10.1016/j.econlet.2014.01.033

All Outputs (2)

The effects of news events on market contagion: evidence from the 2007–2009 financial crisis (2014)
Journal Article
Chevapatrakul, T., & Tee, K.-H. (2014). The effects of news events on market contagion: evidence from the 2007–2009 financial crisis. Research in International Business and Finance, 32, 83-105. https://doi.org/10.1016/j.ribaf.2014.03.003

In this paper, we use the quantile regression technique together with the coexceedance, a contagion measure, to assess the extent to which news events contribute to contagion in the stock markets during the crisis period between 2007 and 2009. Studie... Read More about The effects of news events on market contagion: evidence from the 2007–2009 financial crisis.

Monetary environments and stock returns revisited: A quantile regression approach (2014)
Journal Article

We investigate the impact of monetary conditions on stock market returns at different points on the return distributions. Our results reveal no association between stock returns and monetary environments at the lower quantiles. At the upper quantiles... Read More about Monetary environments and stock returns revisited: A quantile regression approach.