International Stock Returns for Quantile Co-Movement Analysis During Financial Crises

Over 6000 international stocks from more than 60 countries were analyzed during the subprime crisis, European sovereign debt crisis, and subsequent period. The data supports a panel quantile model with factor structures to capture unobserved heterogeneity and cross-sectional dependence. The method was introduced by Tomohiro Ando in an open-access research article.

Use Cases

• Modeling tail risk dependence across international stocks based on the described quantile factor structure.
• Analyzing how common factor sensitivity varies across return quantiles during financial crises.
• Estimating unobserved heterogeneity in financial time series based on sensitivity to explanatory and latent factors.

Strengths

• Covers over 6000 international stocks, providing a large cross-sectional dimension.
• Spans multiple major financial crises, including the subprime and European sovereign debt crises.
• The underlying methodology accounts for cross-sectional and serial dependence, as well as heteroscedasticity.

Limitations

• Column-level documentation is absent; field semantics must be inferred after download.
• Row count and file formats are unknown, which may limit suitability assessment.
• Last update date is unknown; freshness unverified.

Provenance

Source

Tomohiro Ando via paperswithcode.

Collection Method

Likely contains processed financial return data for empirical analysis of the proposed econometric method.

Time Range

Period covering the subprime crisis, European sovereign debt crisis, and subsequent years.

Geography

Global, covering stocks from over 60 countries.