Diversification Benefits between Stock Returns from Ghana and Jamaica: Insights from Time-Frequency and VMD-Based Asymmetric Quantile-on-Quantile Analysis

Figure 2

Plots of test statistics for causality in quantiles. (a) Panel A : Ghana to Jamaica. (b) Panel B : Jamaica to Ghana. Notes: this Figure presents the plots for the t-statistics across quantiles. Signal represents the original series and M1-M3 and MAgg are the resultant series from the VMD. For each plot, the t-statistics are plotted against the vertical axis and the quantiles are shown on the horizontal axis. Panel A (left) shows the causality in quantiles for the relationship “Ghana- > Jamaica” and Panel B (right) shows the causality in quantiles for the relationship “Jamaica- > Ghana.”