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Correlations in Returns and Volatilities in Pacific-Rim Stock Markets
16 references·9 citing·42 second hop
Correlations in Returns and Volatilities in Pacific-Rim Stock Markets (2000)Correlations in Returns and Volatilities …Contagion and trade: why are currency crises regional? (1999)Contagion and trade: why are …Contagion and Trade: Why Are Currency Crises Regional? (1998)Contagion and Trade: Why Are …A causality-in-variance test and its application to financial market prices (1996)A causality-in-variance test …A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada (1995)A Multivariate GARCH Model of…Stock market interdependencies: Evidence from the asian NIEs (1994)Stock market interdependencie…Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Do Bulls and Bears Move Acros…Common stochastic trends in pacific rim stock markets (1994)Common stochastic trends in p…Threshold arch models and asymmetries in volatility (1993)Threshold arch models and asy…Common Volatility in International Equity Markets (1993)Common Volatility in Internat…The international transmission of stock market fluctuation between the developed markets and the Asian—Pacific markets (1992)The international transmissio…Global financial markets and the risk premium on U.S. equity (1992)Global financial markets and …Global Financial Markets and the Risk Premium on U.S. Equity (1992)Global Financial Markets and …Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…International Transmission of Stock Market Movements (1989)International Transmission of…International Stock Price Movements: Links and Messages (1989)International Stock Price Mov…Spillovers to sectoral equity returns: do liquidity and financial positions matter? (2021)Spillovers to sectoral equity…An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries (2016)An investigation of return an…The transmission of market shocks and bilateral linkages: Evidence from emerging economies (2015)The transmission of market sh…TIME‐VARYING VOLATILITY MODELLING OF BALTIC STOCK MARKETS (2010)TIME‐VARYING VOLATILITY MODEL…Global and Regional Spillovers in Emerging Stock Markets: A Multivariate Garch-in-Mean Analysis (2009)Global and Regional Spillover…Analysis of volatility persistence in Middle East emerging equity markets (2008)Analysis of volatility persis…Financial interdependence between Hong Kong and the US: A band spectrum approach (2007)Financial interdependence bet…Are There Asymmetries in the Relationship Between Exchange Rate Fluctuations and Stock Market Volatility in Pacific Basin Countries? 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this work references cited by second hop

References

  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1994Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility874 cited
  • 1998Contagion and Trade: Why Are Currency Crises Regional?798 cited
  • 1996A causality-in-variance test and its application to financial market prices520 cited
  • 1995A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada499 cited
  • 1993Threshold arch models and asymmetries in volatility492 cited
  • 1992Global financial markets and the risk premium on U.S. equity319 cited
  • 1993Common Volatility in International Equity Markets285 cited
  • 1989International Stock Price Movements: Links and Messages246 cited
  • 1992The international transmission of stock market fluctuation between the developed markets and the Asian—Pacific markets177 cited
  • 1994Stock market interdependencies: Evidence from the asian NIEs159 cited
  • 1994Common stochastic trends in pacific rim stock markets157 cited

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  • 1992Global Financial Markets and the Risk Premium on U.S. Equity152 cited
  • 1999Contagion and trade: why are currency crises regional?114 cited
  • Cited by

    • 2016An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries39 cited
    • 2010TIME‐VARYING VOLATILITY MODELLING OF BALTIC STOCK MARKETS36 cited
    • 2015The transmission of market shocks and bilateral linkages: Evidence from emerging economies35 cited
    • 2004The linkage between the US and Korean stock markets: the case of NASDAQ, KOSDAQ, and the semiconductor stocks27 cited
    • 2021Spillovers to sectoral equity returns: do liquidity and financial positions matter?25 cited
    • 2009Global and Regional Spillovers in Emerging Stock Markets: A Multivariate Garch-in-Mean Analysis25 cited
    • 2007Financial interdependence between Hong Kong and the US: A band spectrum approach23 cited
    • 2008Analysis of volatility persistence in Middle East emerging equity markets22 cited
    • 2006Are There Asymmetries in the Relationship Between Exchange Rate Fluctuations and Stock Market Volatility in Pacific Basin Countries?22 cited