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

Table 5

Canada S&P-TSX Index Quantile Regression Result.

0.05		0.0280			0.0121
0.15		0.0215		0.0465	0.0126	−0.2572
0.25		0.0001	0.0227	0.0144	−0.0139
0.35		−0.0036	0.0067	−0.0010	−0.0163
0.45			−0.0187	−0.0150
0.55			−0.0153			0.0058
0.65	0.0161
0.75	−0.0102
0.85	−0.0066	−0.0872	−0.0547		−0.0970	0.1646
0.95	−0.0473	−0.1088			−0.1500	0.3723

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