In this paper, we use quantile regression and learn that both spillover effects and
overreaction effect exist from US stock market to Taiwan stock market, and we separate time
period from 1995/11/7 to 1997/6/30, 1997/6/30 to 2000/6/30, 2000/7/3 to 2007/2/27, and
from 2007/3/1 to 2009/3/26 to know the spillover effects and overreaction effect respectively.
We not only demonstrate the past research that there are spillover effects in close-to-open and
close-to-close returns (Chou, Lin, Wu, 1999 and Chang, 2008), but also find that there is a
overreaction effect in open-to-close returns. Furthermore, both of spillover effects and
overreaction effect become stronger over time.
We find that if we use OLS, we can only know there is positive or negative correlation
between U.S. and Taiwan on average. And OLS overestimates or underestimates the slope
estimate at different quantiles. Quantile regression makes us know the whole behavior of the
distribution, no matter the stock price goes up or down.
Because the spillover and overreaction effects exist from US stock market to Taiwan
stock market, there are some suggestions for investors. Firstly, because of the spillover effects,
we can judge whether tomorrow’s opening price or closing price of Taiwan stock market will
goes up by today’s closing price of US. Secondly, because of the overreaction effect, if the
closing stock price of US goes down and the opening stock price of Taiwan goes down greatly,
we can earn profit by buying at the opening price and selling at the closing price except
during Financial Tsunami. So investors should be more cautious as TAIEX stock prices go
down during Financial Tsunami.
In this paper, we didn’t take the limit regulation of stock price into consideration. The
price limit regulation delays stock price discovery process if the limits are hit (Wang, L. H.,
2000), so it could be a factor that influences overreaction from US to Taiwan. After 1989, the
price limit regulation changes from 5% to 7%, and there are seven times that the down limits
adjust to 3.5% in our time period. The seven times are as follows:
1. 1999/9/27~1999/10/9: 921 earth quake.
2. 2000/3/20~2000/3/24: the turnover of the regime.
3. 2000/10/4~2000/10/11: the resignation of Premier.
4. 2000/10/20~2000/11/7: the discontinuity of the fourth nuclear power plant.
5. 2000/11/21~2000/12/31: the falling of Taiwan stock market by 320 points.
6. 2001/9/19~2001/9/21: September 11 attacks.
7. 2008/10/13~2008/10/17: financial tsunami. Because each time period of these is short, we
didn’t take into account in this paper, the following researchers can expand in this
direction.
Reference
Ashcraft, A. B. and Schuermann, T., 2008. Understanding the securitization of subprime mortgage credit. Federal Reserve Bank of New YorkStaff Reports.
Arshanapalli, B., Doukas, J. and Lang, L. H. P., 1995. Pre and post-October 1987 stock market linkages between US and Asian markets. Pacific-Basin finance journal 3, 57-73.
Ghosh, A., Saidi, R. and Johnson, K. H., 1999. Who moves the Asia-Pacific stock markets-US or Japan? Empirical evidence based on the theory of cointegration. The Financial Review 34, 159-170.
Lin, B. H. and Yeh, S. K., 2000. On the distribution and conditional heteroscedasticity in Taiwan stock prices. Journal of Multinational Financial Management, 10, 367-395.
Lee, B. S., Rui, O. M., Wang, S. S. and Shatin, 2001. Information transmission between NASDAQ and Asian second board markets. Journal of banking and finance, Vol. 28, N. 7, 2004, 1637-1670.
Chang, M. C., 2008. The dynamic linkage of Taiwan and US stock markets. Wang, Working Paper (National Chiao Tung University).
Cheung, Y. L., Cheung, Y. W., Ng C. C., 2007. East Asian equity markets, financial crises, and the Japanese currency. Journal of the Japanese and International Economics 21, 138-152.
Cutler, D. M., Poterba, J. M., Summers, L. H., 1989. What moves stock prices? Journal of Portfolio Management 15, 4–12.
Kahneman, D. and Tversky, A., 1982. Intuitive prediction: Biases and corrective procedures. In D. Kahneman, P. Slovic, and A. Tversky, (eds.), Judgment Under Uncertainty: Heuristics and Biases. London: Cambridge University Press.
Eugene F. Fama and Kenneth R. French, 1987. Commodity futures prices: Some evidence on forecast power, premiums, and the theory of storage. Journal of Business, vol. 60, no. 1, 55-73.
Eun, C. and Shim, S.,1989, International transmission of stock market movements. Journal of Financial and Quantitative Analysis 24, 241-256.
Fama, E. F., 1970. Efficient capital markets–A review of theory and empirical work. Journal of Finance, vol. 25, Issue 2, 383-417.
French, K.R., Roll, R.W., 1986. Stock return variance: the arrival of information and the reaction of traders. Journal of Financial Economics 19, 3–30.
G. De. Santis and Imrohoroglu, S., 1997. Stock returns and volatility in emerging financial markets.
Journal of International Money and Finance, Vo. 16, No. 4, 561-579.
J. M. Keynes,1964. The general theory of employment, interest and money. London: Harcourt Brace Jovanovich.
K. C. John Wei, Y. J. Liu, C. C. Yang and Chaung, G. S., 1995. Volatility and price change spillover effects across the developed and emerging markets. Pacific-Basin Finance Journal 3, 113-136.
Kleidon Allan, 1982. Stock prices as rational forecasters of future cash flows. Dept. of Accounting and Finance, Monash University.
Koenker, R. and Bassett G.W., 1982, Robust tests for heteroscedasticity based on regression quantiles.
Journal of Derivatives, 3, 73-84.
Wang, Kuan-Min and Thanh-Binh Nguyen Thi, 2007. Testing for contagion under asymmetric dynamics: Evidence from the stock markets between US and Taiwan. Physica A 376, 422–432.
Lee, B. S., Rui, O. M. and Wang, S. S., 2004. Information transmission between the NASDAQ and Asian second board markets. Journal of Banking and Finance 28, 1637-1670.
Wang, L. H., 2000. A systematic risk and liquidity analysis of price limits mechanism on textiles and electronics in Taiwan. Working Paper (National Chiao Tung University).
Veronesi, P., 1999. Stock market overreaction to bad news in good times: A rational expectations equilibrium model. The Review of Financial Studies Vol. 12, No.5, 975–1007.
Chou, R.Y., Lin, Jin-Lung and Wu, Chung-Shu, 1999. Modeling the Taiwan stock market and international linkages. Pacific Economic Review, 4: 3, 305-320.
Koenker, R. and G. Bassett Jr., 1978. Regression quantiles. Econometrica, Vol. 46, No. 1., pp. 33-50.
Roll, R.W., 1983. On computing mean returns and the small firm premium. Journal of Financial
Economics 12, 371–386.
Roll, R.W., 1988. On computing mean returns and the small firm premium. Journal of Finance 43, 541–566.
Shiller, R.J., 1981. Do stock prices move too much to be justified by subsequent changes in dividends?
American Economic Review 71, 421–498.
Miyakoshi, T., 2003. Spillovers of stock return volatility to Asian equity markets from Japan and the US. Journal of International Financial Markets, Institutions & Money 13, 383-399.
Wang, Y. M., Liao, S. L. and Shyu, S., 2000. The relationships among Asian stock markets- The test of dynamic process. Asia Pacific Management Review 5, 15-27. (In Chinese)
Chan, W. S., 2003. Stock price reaction to news and no-news: drift and reversal after headlines.
Journal of Financial Economics 70, 223–260.
Thaler, R. H., 1985. Does the stock market overreaction? Journal of Finance, 793-805
Werner F. M. De Bondt and Richard H. Thaler, 1987. Further evidence on investor overreaction and stock market seasonality. The Journal of Finance * Vol. Xlii, No.3.
Y. Hamao, R. W. Masulis and V. Ng, 1990. Correlations in price changes and volatility across international stock markets. The Review of Financial Studies, Vol. 3, No. 2, 281-307.
TABLE 1 Descriptive Statistics
Panel A : Descriptive Statistics for Taiwan and US Stock Markets’ Returns and ADF
Unit Root Test,
1995/11/7 to
2009/3/26
Panel B : Descriptive Statistics for Taiwan and US Stock Markets’ Returns and ADF Unit Root Test, 1995/11/7 to 2009/3/26
Panel C : Descriptive Statistics for Taiwan and US Stock Markets’ Returns and ADF Unit Root Test, 1995/11/7 to 2009/3/26
Close-to-open Close-to-close
TSE OTC S&P 500
Mean 0.001839 0.000692 0.000101
Median 0.002634 0.001556 0.000615
Maximum 0.081902 0.079184 0.102457
Minimum -0.155686 -0.162348 -0.094695
Std. Dev. 0.011864 0.013015 0.013371
Skewness -1.193241 -0.892372 -0.133385
Kurtosis 18.76169 15.14800 10.23191
Observations 3178 3178 3178
Open-to-close Close-to-close
TSE OTC S&P 500
Mean -0.001806 -0.000757 0.000101
Median -0.001873 -0.001043 0.000615
Maximum 0.067319 0.079807 0.102457
Minimum -0.074804 -0.079415 -0.094695
Std. Dev. 0.013219 0.015338 0.013371
Minimum -0.126043 -0.140420 -0.094695
Std. Dev. 0.016723 0.019004 0.013371
Skewness -0.247889 -0.080337 -0.133385
Kurtosis 6.323649 5.694679 10.23191
Observations 3178 3178 3178
TABLE 2
Quantile Regression, 1995/11/07-1997/06/30
Independent Variable: The Returns of Close-to-close Stock Price of S&P 500 Dependent Variable: The Returns of Close-to-open Stock Price of TAIEX
Figure 2: The slope estimate of the quantile regression between S&P 500 and TAIEX under 95%
confidence interval.
0.010(interception) -0.0170 0.0000 0.500 0.0048 0.0000
( slope ) -0.1359 0.3265 0.0954 0.0808
TABLE 3
Quantile Regression, 1997/07/02-2000/06/30
Independent Variable: The Returns of Close-to-close Stock Price of S&P 500 Dependent Variable: The Returns of Close-to-open Stock Price of TAIEX
Figure 3: The slope estimate of the quantile regression between S&P 500 and TAIEX under
0.010(interception) -0.0267 0.0000 0.500 0.0033 0.0000
( slope ) 0.5180 0.0000 0.4322 0.0000
TABLE 4
Quantile Regression, 2000/07/03-2007/02/27
Independent Variable: The Returns of Close-to-close Stock Price of S&P 500 Dependent Variable: The Returns of Close-to-open Stock Price of TAIEX
Figure 4: The slope estimate of the quantile regression between S&P 500 and TAIEX under
0.010(interception) -0.0270 0.0000 0.500 0.0016 0.0000
( slope ) 0.4987 0.0000 0.5728 0.0000
TABLE 5
Quantile Regression, 2007/03/01-2009/03/26
Independent Variable: The Returns of Close-to-close Stock Price of S&P 500 Dependent Variable: The Returns of Close-to-open Stock Price of TAIEX
Figure 5: The slope estimate of the quantile regression between S&P 500 and TAIEX under
0.010(interception) -0.0338 0.0000 0.500 0.0017 0.0000
( slope ) 0.4514 0.0000 0.5213 0.0000
TABLE 6
Quantile Regression, 1995/11/07-2009/03/26
Independent Variable: The Returns of Close-to-close Stock Price of S&P 500 Dependent Variable: The Returns of Close-to-open Stock Price of TAIEX
Figure 6: The slope estimate of the quantile regression between S&P 500 and TAIEX under
0.010(interception) -0.0275 0.0000 0.500 0.0021 0.0000
( slope ) 0.5049 0.0000 0.4972 0.0000
TABLE 7
Quantile Regression, 1995/11/07-1997/06/30
Independent Variable: The Returns of Close-to-close Stock Price of S&P 500 Dependent Variable: The Returns of Close-to-open Stock Price of OTC
Figure 7: The slope estimate of the quantile regression between S&P 500 and OTC under 95%
confidence interval.
0.010(interception) -0.0267 0.1702 0.500 0.0004 0.2025
( slope ) 0.1296 0.9891 0.0428 0.2876
TABLE 8
Quantile Regression, 1997/07/02-2000/06/30
Independent Variable: The Returns of Close-to-close Stock Price of S&P 500 Dependent Variable: The Returns of Close-to-open Stock Price of OTC
Figure 8: The slope estimate of the quantile regression between S&P 500 and OTC under 95%
confidence interval.
OTC 1997-2000 Close-to-open
Quantile Coefficient P-value Quantile Coefficient P-value
0.010(interception) -0.0335 0.0000 0.500 0.0000 0.9375
( slope ) 0.4777 0.0000 0.4777 0.0000
TABLE 9
Quantile Regression, 2000/07/03-2007/02/27
Independent Variable: The Returns of Close-to-close Stock Price of S&P 500 Dependent Variable: The Returns of Close-to-open Stock Price of OTC
Figure 9: The slope estimate of the quantile regression between S&P 500 and OTC under 95%
confidence interval.
OTC 2000-2007 Close-to-open
Quantile Coefficient P-value Quantile Coefficient P-value
0.010(interception) -0.0350 0.0000 0.500 0.0013 0.0000
( slope ) 0.5999 0.0006 0.5723 0.0000
TABLE 10
Quantile Regression, 2007/03/01-2009/03/26
Independent Variable: The Returns of Close-to-close Stock Price of S&P 500 Dependent Variable: The Returns of Close-to-open Stock Price of OTC
Figure 10: The slope estimate of the quantile regression between S&P 500 and OTC under 95%
confidence interval.
OTC 2007-2009 Close-to-open
Quantile Coefficient P-value Quantile Coefficient P-value
0.010(interception) -0.0313 0.0000 0.500 0.0030 0.0000
( slope ) 0.6102 0.0000 0.4765 0.0000
TABLE 11
Quantile Regression, 1995/11/07-2009/03/26
Independent Variable: The Returns of Close-to-close Stock Price of S&P 500 Dependent Variable: The Returns of Close-to-open Stock Price of OTC
Figure 11: The slope estimate of the quantile regression between S&P 500 and OTC under 95%
confidence interval.
OTC 1995-2009 Close-to-open
Quantile Coefficient P-value Quantile Coefficient P-value
0.010(interception) -0.0324 0.0000 0.500 0.0014 0.0000
( slope ) 0.5698 0.0000 0.4973 0.0000
TABLE 12
Quantile Regression, 1995/11/07-1997/06/30
Independent Variable: The Returns of Close-to-close Stock Price of S&P 500 Dependent Variable: The Returns of Open-to-close Stock Price of TAIEX
Figure 12: The slope estimate of the quantile regression between S&P 500 and TAIEX under
0.010(interception) -0.0334 0.0000 0.500 -0.0027 0.0000
( slope ) -0.4097 0.3987 -0.0713 0.3788
TABLE 13
Quantile Regression, 1997/07/02-2000/06/30
Independent Variable: The Returns of Close-to-close Stock Price of S&P 500 Dependent Variable: The Returns of Open-to-close Stock Price of TAIEX
Figure 13: The slope estimate of the quantile regression between S&P 500 and TAIEX under
0.010(interception) -0.0384 0.0000 0.500 -0.0038 0.0000
( slope ) -0.3009 0.0079 -0.0552 0.2499
TABLE 14
Quantile Regression, 2000/07/03-2007/02/27
Independent Variable: The Returns of Close-to-close Stock Price of S&P 500 Dependent Variable: The Returns of Open-to-close Stock Price of TAIEX
Figure 14: The slope estimate of the quantile regression between S&P 500 and TAIEX under
0.010(interception) -0.0341 0.0000 0.500 -0.0013 0.0000
( slope ) -0.4318 0.0038 -0.2106 0.0000
TABLE 15
Quantile Regression, 2007/03/01-2009/03/26
Independent Variable: The Returns of Close-to-close Stock Price of S&P 500 Dependent Variable: The Returns of Open-to-close Stock Price of TAIEX
Figure 15: The slope estimate of the quantile regression between S&P 500 and TAIEX under
0.010(interception) -0.0358 0.0000 0.500 -0.0007 0.1958
( slope ) -0.1179 0.0018 -0.1460 0.0002
TABLE 16
Quantile Regression, 1995/11/07-2009/03/26
Independent Variable: The Returns of Close-to-close Stock Price of S&P 500 Dependent Variable: The Returns of Open-to-close Stock Price of TAIEX
Figure 16: The slope estimate of the quantile regression between S&P 500 and TAIEX under
0.010(interception) -0.0352 0.0000 0.500 -0.0018 0.0000
( slope ) -0.2010 0.0329 -0.1610 0.0000
TABLE 17
Quantile Regression, 1995/11/07-1997/06/30
Independent Variable: The Returns of Close-to-close Stock Price of S&P 500 Dependent Variable: The Returns of Open-to-close Stock Price of OTC
Figure 17: The slope estimate of the quantile regression between S&P 500 and OTC under 95%
confidence interval.
OTC 1995-1997 Open-to-close
Quantile Coefficient P-value Quantile Coefficient P-value
0.010(interception) -0.0371 0.0000 0.500 -0.0012 0.0677
( slope ) -0.8424 0.0000 -0.1173 0.1342
TABLE 18
Quantile Regression, 1997/07/02-2000/06/30
Independent Variable: The Returns of Close-to-close Stock Price of S&P 500 Dependent Variable: The Returns of Open-to-close Stock Price of OTC
Figure 18: The slope estimate of the quantile regression between S&P 500 and OTC under 95%
confidence interval.
OTC 1997-2000 Open-to-close
Quantile Coefficient P-value Quantile Coefficient P-value
0.010(interception) -0.0406 0.0000 0.500 -0.0017 0.0135
( slope ) -0.4578 0.0000 -0.1371 0.0250
TABLE 19
Quantile Regression, 2000/07/03-2007/02/27
Independent Variable: The Returns of Close-to-close Stock Price of S&P 500 Dependent Variable: The Returns of Open-to-close Stock Price of OTC
Figure 19: The slope estimate of the quantile regression between S&P 500 and OTC under 95%
confidence interval.
OTC 2000-2007 Open-to-close
Quantile Coefficient P-value Quantile Coefficient P-value
0.010(interception) -0.0346 0.0000 0.500 -0.0010 0.0023
( slope ) -0.4563 0.0001 -0.2610 0.0000
TABLE 20
Quantile Regression, 2007/03/01-2009/03/26
Independent Variable: The Returns of Close-to-close Stock Price of S&P 500 Dependent Variable: The Returns of Open-to-close Stock Price of OTC
Figure 20: The slope estimate of the quantile regression between S&P 500 and OTC under 95%
confidence interval.
OTC 2007-2009 Open-to-close
Quantile Coefficient P-value Quantile Coefficient P-value
0.010(interception) -0.0423 0.0000 0.500 -0.0015 0.0485
( slope ) -0.2383 0.0150 -0.2129 0.0006
TABLE 21
Quantile Regression, 1995/11/07-2009/03/26
Independent Variable: The Returns of Close-to-close Stock Price of S&P 500 Dependent Variable: The Returns of Open-to-close Stock Price of OTC
Figure 21: The slope estimate of the quantile regression between S&P 500 and OTC under 95%
confidence interval.
OTC 1995-2009 Open-to-close
Quantile Coefficient P-value Quantile Coefficient P-value
0.010(interception) -0.0383 0.0000 0.500 -0.0011 0.0000
( slope ) -0.3213 0.0004 -0.2131 0.0000
TABLE 22
Quantile Regression, 1995/11/07-1997/06/30
Independent Variable: The Returns of Close-to-close Stock Price of S&P 500 Dependent Variable: The Returns of Close-to-close Stock Price of TAIEX
Figure 22: The slope estimate of the quantile regression between S&P 500 and TAIEX under
0.010(interception) -0.0342 0.0000 0.500 0.0012 0.0845
( slope ) -0.4623 0.0058 0.1414 0.0901
TABLE 23
Quantile Regression, 1997/07/02-2000/06/30
Independent Variable: The Returns of Close-to-close Stock Price of S&P 500 Dependent Variable: The Returns of Close-to-close Stock Price of TAIEX
Figure 23: The slope estimate of the quantile regression between S&P 500 and TAIEX under
0.010(interception) -0.0442 0.0000 0.500 -0.0007 0.3359
( slope ) 0.2351 0.0300 0.2835 0.0000
TABLE 24
Quantile Regression, 2000/07/03-2007/02/27
Independent Variable: The Returns of Close-to-close Stock Price of S&P 500 Dependent Variable: The Returns of Close-to-close Stock Price of TAIEX
Figure 24: The slope estimate of the quantile regression between S&P 500 and TAIEX under
0.010(interception) -0.0432 0.0000 0.500 0.0001 0.7226
( slope ) 0.2951 0.0874 0.3478 0.0000
TABLE 25
Quantile Regression, 2007/03/01-2009/03/26
Independent Variable: The Returns of Close-to-close Stock Price of S&P 500 Dependent Variable: The Returns of Close-to-close Stock Price of TAIEX
Figure 25: The slope estimate of the quantile regression between S&P 500 and TAIEX under
0.010(interception) -0.0419 0.0000 0.500 0.0001 0.9039
( slope ) 0.4236 0.0000 0.3655 0.0000
TABLE 26
Quantile Regression, 1995/11/07-2009/03/26
Independent Variable: The Returns of Close-to-close Stock Price of S&P 500 Dependent Variable: The Returns of Close-to-close Stock Price of TAIEX
Figure 26: The slope estimate of the quantile regression between S&P 500 and TAIEX under
0.010(interception) -0.0419 0.0000 0.500 0.0001 0.6389
( slope ) 0.3901 0.0000 0.3323 0.0000
TABLE 27
Quantile Regression, 1995/11/07-1997/06/30
Independent Variable: The Returns of Close-to-close Stock Price of S&P 500 Dependent Variable: The Returns of Close-to-close Stock Price of OTC
Figure 27: The slope estimate of the quantile regression between S&P 500 and OTC under 95%
confidence interval.
OTC 1995-1997 Close-to-close
Quantile Coefficient P-value Quantile Coefficient P-value
0.010(interception) -0.0555 0.0000 0.500 -0.0000 0.9593
( slope ) -1.3262 0.0009 0.0001 0.9992
TABLE 28
Quantile Regression, 1997/07/02-2000/06/30
Independent Variable: The Returns of Close-to-close Stock Price of S&P 500 Dependent Variable: The Returns of Close-to-close Stock Price of OTC
Figure 28: The slope estimate of the quantile regression between S&P 500 and OTC under 95%
confidence interval.
OTC 1997-2000 Close-to-close
Quantile Coefficient P-value Quantile Coefficient P-value
0.010(interception) -0.0499 0.0000 0.500 -0.0012 0.1471
( slope ) 0.5029 0.0011 0.3618 0.0000
TABLE 29
Quantile Regression, 2000/07/03-2007/02/27
Independent Variable: The Returns of Close-to-close Stock Price of S&P 500 Dependent Variable: The Returns of Close-to-close Stock Price of OTC
Figure 29: The slope estimate of the quantile regression between S&P 500 and OTC under 95%
confidence interval.
OTC 2000-2007 Close-to-close
Quantile Coefficient P-value Quantile Coefficient P-value
0.010(interception) -0.0479 0.0000 0.500 -0.0001 0.8755
( slope ) 0.4370 0.0018 0.2806 0.0000
TABLE 30
Quantile Regression, 2007/03/01-2009/03/26
Independent Variable: The Returns of Close-to-close Stock Price of S&P 500 Dependent Variable: The Returns of Close-to-close Stock Price of OTC
Figure 30: The slope estimate of the quantile regression between S&P 500 and OTC under 95%
confidence interval.
OTC 2007-2009 Close-to-close
Quantile Coefficient P-value Quantile Coefficient P-value
0.010(interception) -0.0487 0.0000 0.500 0.0001 0.9224
( slope ) 0.2956 0.0000 0.3187 0.0000
TABLE 31
Quantile Regression, 1995/11/07-2009/03/26
Independent Variable: The Returns of Close-to-close Stock Price of S&P 500 Dependent Variable: The Returns of Close-to-close Stock Price of OTC
Figure 31: The slope estimate of the quantile regression between S&P 500 and OTC under 95%
confidence interval.
OTC 1995-2009 Close-to-close
Quantile Coefficient P-value Quantile Coefficient P-value
0.010(interception) -0.0496 0.0000 0.500 -0.0004 0.2411
( slope ) 0.3215 0.0000 0.2985 0.0000
TABLEEEE 32: The slope estimate of the quantile regression between S&P 500 and close-to-open returns of TAAAAIEX uuuunder 95% confiiiidence interval from 1995 to 1997, 1997 to 2000, 2000000 to 2007 and 2007 to 2009.
Figure 2: 1995-1997 Figure 3: 1997-2000
Figure 4: 2000-2007 Figure 5: 2007-2009
In figure 2, there are
TABLE 33: The slope estimate of the quantile regression between S&P 500 and close-to-open returns of OTC under 95% confidence interval from 1995 to 1997, 1997 to 2000, 2000 to 2007 and 2007 to 2009.
Figure 7: 1995-1997 Figure 8: 1997-2000
Figure 9: 2000-2007 Figure 10: 2007-2009
In figure 7, there are
TABLE 34: The slope estimate of the quantile regression between S&P 500 and close-to-open returns of TAIEX and OTC under 95%
confidence interval from 1995 to 2009.
This table reports the slope estimate of both the quantile regression and ordinary least squares method from 1995 to 2009. We can know that both of the slope estimates are positive. In other words, there are positive correlations not only between S&P 500 and close-to-open returns of TAIEX, but also between S&P 500 and close-to-open returns of OTC. Moreover, we can find that the slope estimates are different in most of the quantiles.
Figure 6: 1995-2009 Figure 11: 1995-2009
TABLE 35: The slope estimate of the quantile regression between S&P 500 and open-to-close returns of TAIEX under 95% confidence interval from 1995 to 1997, 1997 to 2000, 2000 to 2007 and 2007 to 2009.
Figure 12: 1995-1997 Figure 13: 1997-2000
Figure 14: 2000-2007 Figure 15: 2007-2009
In figure 12, there are significant negative effects from US to TAIEX at following quantiles : 5%:θ=0.05
10%:θ= 0.15, 0.85, 0.9, 0.95
In figure 13, there are significant negative effects from US to
TABLE 36: The slope estimate of the quantile regression between S&P 500 and open-to-close returns of OTC under 95% confidence interval from 1995 to 1997, 1997 to 2000, 2000 to 2007 and 2007 to 2009.
Figure 17: 1995-1997 Figure 18: 1997-2000
Figure 19: 2000-2007 Figure 20: 2007-2009
In figure 17, there are significant negative effects from US to OTC at following quantiles :
TABLE 37: The slope estimate of the quantile regression between S&P 500 and open-to-close returns of TAIEX and OTC under 95% confidence interval from 1995 to 2009.
This table reports the slope estimate of both the quantile regression and ordinary least squares method from 1995 to 2009. We can know that both of the slope estimates are negative. In other words, there are negative correlations not only between S&P 500 and open-to-close returns of TAIEX, but also between S&P 500 and open-to-close returns of OTC. Moreover, we can find that the slope estimates are different in most of the quantiles.
Figure 16: 1995-2009 Figure 21: 1995-2009
TABLE 38: The slope estimate of the quantile regression between S&P 500 and close-to-close returns of TAIEX under 95%
confidence interval from 1995 to 1997, 1997 to 2000, 2000 to 2007 and 2007 to 2009.
Figure 22: 1995-1997 Figure 23: 1997-2000
Figure 24: 2000-2007 Figure 25: 2007-2009
In figure 22, there are significant positive effects from US to
TABLE 39: The slope estimate of the quantile regression between S&P 500 and close-to-close returns of OTC under 95% confidence interval from 1995 to 1997, 1997 to 2000, 2000 to 2007 and 2007 to 2009.
Figure 27: 1995-1997
Figure 28: 1997-2000
Figure 29: 2000-2007 Figure 30: 2007-2009
When θ=0.01, there is
TABLE 40: The slope estimate of the quantile regression between S&P 500 and close-to-close returns of TAIEX and OTC under 95% confidence interval from 1995 to 2009.
This table reports the slope estimate of both the quantile regression and ordinary least squares method from 1995 to 2009. We can know that both of the slope estimates are positive. In other words, there are positive correlations not only between S&P 500 and close-to-close returns of TAIEX, but also between S&P 500 and close-to-close returns of OTC. Moreover, we can find that most of the slope estimates are different in most of the quantiles.
Figure 26: 1995-2009 Figure 31: 1995-2009