Monetary environments and stock returns: International evidence based on the quantile regression technique

Chevapatrakul, Thanaset

doi:10.1016/j.irfa.2015.01.013

Cited by 17 publications

(18 citation statements)

References 29 publications

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“…This method is based on the conditional mean 1066 IJPPM 66,8 or central tendency, which may misrepresent reality, as a variation of the dependent variable may matter between upper and lower values. As such, the impact of explanatory variables may not be homogenous across various ranges of real performance (Sánchez-Vidal, 2014;Chevapatrakul, 2015;Kang and Liu, 2014;Marrocu et al, 2015). A positive relationship between a variable and its explanatory variable may turn out to be reverse with other levels of the dependent variable.…”

Section: Ijppm 668mentioning

confidence: 99%

Board characteristics and real performance in Malaysian state-owned enterprises (SOEs)

Shawtari

Mohamad

Rashid

et al. 2017

IJPPM

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Purpose The purpose of this paper is to investigate the relationship between board characteristics and real performance among state-owned enterprises (SOEs) in Malaysia in a longitudinal period following the introduction of transformation policy. Design/methodology/approach The study deviates from prior research in utilising a real performance measure rather than traditional measures of performance. The authors adopt the quantile regression approach to examine the impact of board characteristics on real performance in a comparison using ordinary least squares. Findings The results of quantile regression reveal that the impact of board mechanisms on real performance was not as expected. Specifically, board size and duality had a bearing on real performance. Board independence also is considered as influential factor through the time. However, such effects were not homogenous across different quantiles. The dummy year variable to compare the period pre- and post-transformation policy reveals that the dummy year is not significant, indicating that performance post-transformation is indifferent compared to the pre-transformation policy period. Practical implications It is important for government to reconsider the policies embedded in the transformation policy. This study provides insights on the enhancement of board effectiveness and new developments regarding GLCs. Originality/value This is an early to attempt to measure real performance and its link to board characteristics in SOEs post-transformation policy.

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Section: Ijppm 668mentioning

confidence: 99%

Board characteristics and real performance in Malaysian state-owned enterprises (SOEs)

Shawtari

Mohamad

Rashid

et al. 2017

IJPPM

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“…Examining the impact of news on return volatility, Nelson (1991) and Glosten et al (1993), for example, show that markets react more aggressively to bad news than good news. Furthermore, Chevapatrakul (2014) and Chevapatrakul (2015) both reveal that stock markets respond asymmetrically to changes in monetary policy depending on the level of the stock market return. Investigating the causality between past trading volume and index returns in the Pacific Basin countries, Gebka and Wohar (2013) uncover strong nonlinear causality.…”

Section: Introductionmentioning

confidence: 99%

The impact of tail risk on stock market returns: The role of market sentiment

Chevapatrakul

Yao

2019

International Review of Economics & Finance

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We examine the return predictability of time-varying extreme-event risk at the different points on the return distribution using quantile regression. We find evidence of strong predictive power at the lower quantiles for forecast horizons of up to one year. At the higher quantiles, however, our results show no association between tail risk and the excess stock market returns. Taken together, the evidence explains the abnormally large equity premium, observed during periods of sharp falls in stock prices when market sentiment is bearish.

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“…In order to ensure that the statistical inference is valid, the pairs bootstrapping by Buchinsky (1995) is used to compute the standard errors given that the errors produced with this method are asymptotically valid under heteroscedasticity and misspecification. This method of bootstrapping includes drawing pairs with replacement from the sample, each with equal probability (Chevapatrakul, 2015). The Monte Carlo simulation results documented by Buchinsky (1995) suggest that the pairs-bootstrap estimator produces the best results.…”

Section: Empirical Modelmentioning

confidence: 99%

Global Risk Factors and Stock Returns during Bull and Bear Market Conditions: Evidence from Emerging Economies in Europe

Demiralay¹

2019

Prague Economic Papers

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Monetary environments and stock returns: International evidence based on the quantile regression technique

Cited by 17 publications

References 29 publications

Board characteristics and real performance in Malaysian state-owned enterprises (SOEs)

Board characteristics and real performance in Malaysian state-owned enterprises (SOEs)

The impact of tail risk on stock market returns: The role of market sentiment

Global Risk Factors and Stock Returns during Bull and Bear Market Conditions: Evidence from Emerging Economies in Europe

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