Computing regression quantiles to analysis the relationship between market behavior and political risk

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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:	2012-06-01
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:	[Department of Management Sciences] Journal Article

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