Stock Market Autoregressive Dynamics: A Multinational Comparative Study with Quantile Regression

Table 1

Shanghai Composite Index Quantile Regression Result.

0.05	0.0388	0.0358	−0.0473
0.15	0.0119			0.0091
0.25	0.0052			−0.0178
0.35	−0.0064			−0.0033
0.45	−0.0009			−0.0089
0.55	0.0125			−0.0055
0.65
0.75				0.0040
0.85
0.95	0.0244	0.0215

Note: significance at 1% level, significance at 5%, and significance at 10%.