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

Table 2

Shenzhen Composite Index Quantile Regression Result.

0.05		−0.0497	−0.0048	0.0495	−0.0160		0.0009
0.15		0.0032			−0.0184		−0.0026
0.25		0.0122			−0.0124		0.0066
0.35		0.0143			−0.0156		−0.0025
0.45					−0.0085		0.0023
0.55		0.0098			0.0108		0.0090
0.65		0.0065					0.0132
0.75	0.0166	0.0045					0.0174
0.85		0.0171			0.0303
0.95	0.0501	0.0081	0.0117	0.0517	0.0566	−0.0465

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