Does geopolitical risk matter for global asset returns? Evidence from quantile-on-quantile regression

Vulnerability of Sustainable Islamic Stock Returns to Implied Market Volatilities: An Asymmetric Approach

“…A look at Figure 1 most of the QQR estimates are not mirror images of the QR estimates, they are a little closer to each other. e reason why the line graphs are not mirror images of each other could be due to the presence of different information contained in the asymmetric distributions of both Islamic and implied volatilities simultaneously as addressed by the QQR alone (see [21,27,28]). Nonetheless, to some extent, the line graphs confirm the QQR except for the extreme quantiles of most relationships.…”

“…at is, prior studies conducted on the susceptibility of Islamic equities to implied volatilities are mostly silent on the use of the quantile regression approaches (see [20][21][22][23][24]26]). However, the quantile regression approaches, quantile regression (QR), and quantile-on-quantile regression (QQR) offer the opportunity to capture the nonlinear, asymmetry, and nonstationary influence of changes in implied volatilities [13] and Islamic stock returns (see [27,28]), as well as the effect during bearish, normal, and bullish market situations. e traditional QR and regular least squares approaches alone do not display these properties as good as QQR does.…”

ICEEMDAN-Based Transfer Entropy between Global Commodity Classes and African Equities

“…is is also confirmatory of the results from the Jarque-Bera test of normality, in which all return series reject the hypothesis for normally distributed series. e return series for all the variables showed a leptokurtic character, which mimics the stylised fact about financial assets [52]. e stationarity properties of the return series were confirmed using the tests of Dickey and Fuller and Phillips and Perron, both of which proved that the return series are stationary at the 1% level of significance.…”

“…Hinged on our findings, future works could ascertain the efficiency levels of the studied markets across different market conditions using quantile-based techniques (see, e.g., [1,52,66]). Additionally, the risk levels of the studied markets could be forecasted to meet the proactive needs of market players.…”

A Nonlinear Approach to Quantifying Investor Fear in Stock Markets of BRIC

“…Generally, the materialisation of economic projections is hampered by tumult trading environments. e world has witnessed several financial market downturns over the last few decades, and these were mostly occasioned by pandemics (For extended highlights on the history of pandemics, visit https://www.visualcapitalist.com/history-ofpandemics-deadliest/) or the alike [15][16][17][18], which could introduce significant changes in traditional market dynamics between and within market blocs. e effect of such significant changes may be attributable to the severity of the pandemic and the deaths associated with these pandemics (see Figure 1), causing a reduction in the labour force and productivity levels across the global economy.…”