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    Title: Computing regression quantiles to analysis the relationship between market behavior and political risk
    Authors: Wang, Yi-Hsien;Hung, Jui-Cheng;Lee, Yen-Hsien;Chuang, Chung-Chu
    Contributors: 淡江大學管理科學學系
    Keywords: Parliament effects;politics-economy;market behavior;Quantile regression
    Date: 2012-06
    Issue Date: 2012-07-04 09:45:31 (UTC+8)
    Publisher: Dordrecht: Springer Netherlands
    Abstract: The modern tendency of Japanese politics-economy interaction has affected emerging countries. This article examines the influence of the House of Representatives sessions on returns to Nikkei 225. The conventional linear regression can only describe the impact of averages on returns, but cannot completely present all the possible relationships between the two. In order to avoid the restrictions of the above mentioned method, this article performs quantile regression to analyze the influence of the House of Representatives sessions on the returns of Nikkei 225. Meanwhile, quantile regression provides a more complete description of analysis on relationships between stock market behavior and parliament effects.
    Relation: Quality & Quantity 46(4), pp.1047-1055
    DOI: 10.1007/s11135-011-9447-8
    Appears in Collections:[管理科學學系暨研究所] 期刊論文

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