Quality & Quantity

, Volume 46, Issue 4, pp 1047–1055

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

Authors

    • Department of Banking and FinanceChinese Culture University
  • Jui-Cheng Hung
    • Department of Banking and FinanceChinese Culture University
  • Yen-Hsien Lee
    • Department of FinanceChung Yuan Christian University
  • Chung-Chu Chuang
    • Graduate Institute of Management SciencesTamkang University
Article

DOI: 10.1007/s11135-011-9447-8

Cite this article as:
Wang, Y., Hung, J., Lee, Y. et al. Qual Quant (2012) 46: 1047. doi:10.1007/s11135-011-9447-8
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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.

Keywords

Parliament effectspolitics-economymarket behaviorQuantile regression

Copyright information

© Springer Science+Business Media B.V. 2011