Diversification Benefits between Stock Returns from Ghana and Jamaica: Insights from Time-Frequency and VMD-Based Asymmetric Quantile-on-Quantile Analysis
Table 2
Test-statistics from causality in quantiles’ tests.
Dir.
Ghana ->
Jamaica ->
Ghana ->
Jamaica ->
Ghana->
Jamaica->
Ghana ->
Jamaica ->
Ghana ->
Jamaica ->
Jamaica
Ghana
Jamaica
Ghana
Jamaica
Ghana
Jamaica
Ghana
Jamaica
Ghana
Signal
M1
M2
M3
MAgg
0.05
1.02608
2.06921
1.48828
1.67655
1.00243
0.83153
1.01186
0.36135
1.11381
1.70444
0.10
1.11178
3.02353
2.31957
1.56476
1.50123
1.33547
1.18772
0.54498
1.17734
1.78886
0.15
1.06679
2.70409
3.10621
1.81047
1.49842
1.76817
1.71248
0.63047
1.52495
2.27196
0.20
1.28042
3.09314
3.25131
2.35755
1.22826
2.22379
1.53979
1.41382
1.49852
2.63880
0.25
1.43469
3.10212
3.63794
2.79296
1.03682
2.06712
2.22221
1.61729
1.88445
2.59469
0.30
1.55772
3.68067
4.19129
3.12030
1.33225
1.98722
2.58199
1.96882
1.93857
3.15938
0.35
1.99937
3.63969
4.19047
3.82780
1.80477
2.17775
2.52118
2.49695
2.15861
3.34265
0.40
2.43783
3.85793
3.93124
3.81003
1.79322
1.97880
2.70424
2.39967
2.09620
3.43690
0.45
2.40610
4.06462
3.64787
3.96401
1.74282
1.79993
2.98762
2.65935
2.41827
3.65302
0.50
2.03738
4.27068
3.42881
3.88798
1.80548
1.81587
2.66923
2.72463
2.85514
3.41732
0.55
1.78503
4.13698
3.29239
3.90609
1.61049
1.78817
2.74163
2.40865
2.43931
3.21944
0.60
1.71540
3.87406
2.64115
3.92679
1.89591
1.78142
2.67800
2.20535
2.44444
3.76192
0.65
1.67986
3.60566
2.22063
3.70509
1.59795
2.03906
2.65161
1.91404
2.38240
3.30562
0.70
1.53965
3.03611
2.23563
3.81507
1.89158
1.86701
1.85497
1.61516
2.05502
3.03386
0.75
1.59481
2.42838
2.21075
3.45093
1.50933
1.76310
1.44339
1.39536
1.89053
2.70552
0.80
1.56691
2.04911
1.91331
3.31076
1.32992
1.76922
1.10208
1.21829
1.53703
2.87963
0.85
1.19596
1.45309
2.13917
2.60773
1.77638
1.52064
1.16519
1.09180
1.08585
2.33467
0.90
1.12815
1.21249
1.63700
1.58095
1.47213
1.09164
1.14969
0.74984
0.88437
1.33077
0.95
0.71229
0.88209
0.62875
0.90546
1.44546
0.75744
0.75872
0.78207
0.75286
0.84527
Notes: represent quantiles; test statistic is tested at the 5%, where critical value = 1.96; [], [], and [], are [1%], [5%], and [10%] respective significance levels for critical values of 2.567, 1.96, and 1.645.
