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Information and volatility linkage under external shocks
16 references·1 citing·50 second hop
Information and volatility linkage under external shocks (2002)Information and volatility linkage under …Information and volatility linkages in the stock, bond, and money markets11This paper was previously under the title, `Volatility and common information in the stock, bond, and money markets’. We thank Paul Seguin (the referee) for numerous suggestions that substantially imporved the paper. We also received the helpful comments from Bill Schwert (the editor), David Ellis, Wayne Ferson, John Graham, Bruce Grundy, Kathleen Weiss Hanley, Larry Harris, George Kanatas, Tom Smith, Raul Susmel, and Bob Whaley, and seminar participants at the 1996 Texas Finance Symposium, the 1997 American Finance Association meetings in New Orleans, The Australian Graduate School of Management, the University of Houston, Rice University, the University of Texas at Austin, the University of Utah, and the University of Washington. Part of this research was completed while the second author was visiting Rice University. (1998)Information and volatility li…Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Why Do Markets Move Together?…Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements (1996)Why Do Markets Move Together?…International Market Correlation and Volatility (1996)International Market Correlat…Information, trading and stock returns: Lessons from dually-listed securities (1996)Information, trading and stoc…Volatility and price change spillover effects across the developed and emerging markets (1995)Volatility and price change s…Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets (1995)Cointegration, Error Correcti…Forecasting International Equity Correlations (1994)Forecasting International Equ…Market Integration and Price Execution for NYSE-Listed Securities (1993)Market Integration and Price …Lessons for International Asset Allocation (1993)Lessons for International Ass…Benefits of international diversification (1990)Benefits of international div…Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Information and Volatility: T…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Why Not Diversify Internationally Rather Than Domestically? (1974)Why Not Diversify Internation…An Asymptotic χ2Test for the Equality of Two Correlation Matrices (1970)An Asymptotic χ2Test for the …Information and volatility linkages in the stock, bond, and money marketsInformation and volatility li…Does cross-listing in the US improve investment efficiency? Evidence from UK firms (2019)Does cross-listing in the US …A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Shock and volatility transmission in the oil, US and Gulf equity markets (2005)Volatility transmission between oil prices and equity sector returns (2009)Asset market linkages: Evidence from financial, commodity and real estate assets (2010)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Price, trade size, and information in securities markets (1987)Inferring Trade Direction from Intraday Data (1991)Liquidity-Based Competition for Order Flow (2003)The Impact of Legal and Political Institutions on Equity Trading Costs: A Cross-Country Analysis (2006)Measuring Liquidity in Bond Markets (2013)Statistical Inference in Factor Analysis (1956)Race, social class and ability patterns on the WISC-R (1982)Specification and Estimation of Mean- and Covariance-Structure Models (1995)Does sovereign debt ratings news spill over to international stock markets? (2007)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Transactions, Volume, and Volatility (1994)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Theory of rational option pricing (2005)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)International Asset Pricing and Portfolio Diversification with Time-Varying Risk (1997)International comovement of stock market returns: A wavelet analysis (2009)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Security price adjustment across exchanges: an investigation of common factor components for Dow stocks (2002)Realized Variance and Market Microstructure Noise (2004)The crude oil market and the gold market: Evidence for cointegration, causality and price discovery (2010)Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)International Diversification of Investment Portfolios (1970)Does industrial structure explain the benefits of international diversification? (1994)Home Bias in Equity Portfolios, Inflation Hedging, and International Capital Market Equilibrium (1994)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)The Behavior of Stock-Market Prices (1965)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Is the correlation in international equity returns constant: 1960–1990? (1995)The Distribution of Exchange Rate Volatility (1999)The Distribution of Stock Return Volatility (2000)Volatiltiy and Links Between National Stock Markets (1990)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Procyclicality of the financial system and financial stability: Issues and policy options (2001)The Distribution of Realized Exchange Rate Volatility (2001)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy1,047 cited
  • 1974Why Not Diversify Internationally Rather Than Domestically?899 cited
  • 1996Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements867 cited
  • 1994Forecasting International Equity Correlations521 cited
  • 1996International Market Correlation and Volatility468 cited
  • 1998Information and volatility linkages in the stock, bond, and money markets11This paper was previously under the title, `Volatility and common information in the stock, bond, and money markets’. We thank Paul Seguin (the referee) for numerous suggestions that substantially imporved the paper. We also received the helpful comments from Bill Schwert (the editor), David Ellis, Wayne Ferson, John Graham, Bruce Grundy, Kathleen Weiss Hanley, Larry Harris, George Kanatas, Tom Smith, Raul Susmel, and Bob Whaley, and seminar participants at the 1996 Texas Finance Symposium, the 1997 American Finance Association meetings in New Orleans, The Australian Graduate School of Management, the University of Houston, Rice University, the University of Texas at Austin, the University of Utah, and the University of Washington. Part of this research was completed while the second author was visiting Rice University.435 cited
  • 1995Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets366 cited
  • 1970An Asymptotic χ2Test for the Equality of Two Correlation Matrices254 cited
  • 1993Market Integration and Price Execution for NYSE-Listed Securities246 cited
  • 1996Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements

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196 cited
  • 1993Lessons for International Asset Allocation189 cited
  • 1990Benefits of international diversification160 cited
  • n.d.Information and volatility linkages in the stock, bond, and money markets130 cited
  • 1995Volatility and price change spillover effects across the developed and emerging markets118 cited
  • 1996Information, trading and stock returns: Lessons from dually-listed securities108 cited
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    • 2019Does cross-listing in the US improve investment efficiency? Evidence from UK firms22 cited