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

Table 10

Comparison of Coefficients of in QAR Model.

	Shanghai	Shenzhen	Germany	France	Canada	US	Japan	Italy	UK
0.05	0.0388						0.0599
0.15	0.0119						0.0123	0.0376
0.25	0.0052					0.01790	−0.0190
0.35	−0.0064					−0.0021		0.0037	0.0062
0.45	−0.0009		0.0014	−0.0080				−0.0041	−0.0063
0.55	0.0125
0.65					0.0161
0.75		0.0166			−0.0102
0.85					−0.0066
0.95	0.0244	0.0501			−0.0473			−0.0977

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