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Interactions among China-Related Stocks
13 references·6 citing·39 second hop
Interactions among China-Related Stocks (2000)Interactions among China-Related StocksCROSS‐AUTOCORRELATION BETWEEN A SHARES AND B SHARES IN THE CHINESE STOCK MARKET (1998)CROSS‐AUTOCORRELATION BETWEEN…Capital controls, market segmentation and stock prices: Evidence from the Chinese stock market (1996)Capital controls, market segm…Of Shepherds, Sheep, and the Cross-autocorrelations in Equity Returns (1995)Of Shepherds, Sheep, and the …Risk and return on China's new stock markets: Some preliminary evidence (1994)Risk and return on China's ne…Investment Analysis and the Adjustment of Stock Prices to Common Information (1993)Investment Analysis and the A…Imperfect Information and Cross-Autocorrelation Among Stock Prices (1993)Imperfect Information and Cro…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…COINTEGRATION AND ERROR CORRECTION: REPRESENTATION (1987)COINTEGRATION AND ERROR CORRE…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Common influences, spillover and integration in Chinese stock markets (2012)Common influences, spillover …ARE CHINESE STOCK MARKETS INCREASING INTEGRATION WITH OTHER MARKETS IN THE GREATER CHINA REGION AND OTHER MAJOR MARKETS? (2007)ARE CHINESE STOCK MARKETS INC…Seasonalities in China's Stock Markets (2006)Seasonalities in China's Stoc…On the Comovement of A and H Shares (2006)On the Comovement of A and H …Return and risk interactions in Chinese stock markets (2004)Return and risk interactions …Interaction among China-related stocks: evidence from a causality test with a new procedure (2004)Interaction among China-relat…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Does the Stock Market Overreact? (1985)Momentum Trading by Institutions (2002)Do foreigners facilitate information transmission in emerging markets? (2012)Are Institutions Informed About News? (2014)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Risk, Return, and Equilibrium: Empirical Tests (1973)Industry Information Diffusion and the Lead-lag Effect in Stock Returns (2007)Market Segmentation and Cross‐predictability of Returns (2010)Forecasting Stock Returns (2013)Asset pricing and the bid-ask spread (1986)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Business conditions and expected returns on stocks and bonds (1989)Foreign Ownership Restrictions and Equity Price Premiums: What Drives the Demand for Cross-Border Investments? (1999)Causality and cointegration of stock markets among the United States, Japan and the South China Growth Triangle (2000)The effect of market segmentation on stock prices: The China syndrome (2000)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Measuring the Information Content of Stock Trades (1991)ARCH modeling in finance (1992)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Do Industries Explain Momentum? (1999)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Tourism as a long-run economic growth factor: the Spanish case (2002)Testing for Error Correction in Panel Data* (2007)Do Natural Resources Fuel Authoritarianism? A Reappraisal of the Resource Curse (2011)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)Bounds testing approaches to the analysis of level relationships (2001)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 1987COINTEGRATION AND ERROR CORRECTION: REPRESENTATION1,262 cited
  • 1993Investment Analysis and the Adjustment of Stock Prices to Common Information640 cited
  • 1995Of Shepherds, Sheep, and the Cross-autocorrelations in Equity Returns331 cited
  • 1994Risk and return on China's new stock markets: Some preliminary evidence225 cited
  • 1996Capital controls, market segmentation and stock prices: Evidence from the Chinese stock market177 cited
  • 1998CROSS‐AUTOCORRELATION BETWEEN A SHARES AND B SHARES IN THE CHINESE STOCK MARKET176 cited
  • 1993Imperfect Information and Cross-Autocorrelation Among Stock Prices158 cited

Cited by

  • 2007ARE CHINESE STOCK MARKETS INCREASING INTEGRATION WITH OTHER MARKETS IN THE GREATER CHINA REGION AND OTHER MAJOR MARKETS?

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33 cited
  • 2006Seasonalities in China's Stock Markets30 cited
  • 2006On the Comovement of A and H Shares27 cited
  • 2004Return and risk interactions in Chinese stock markets27 cited
  • 2012Common influences, spillover and integration in Chinese stock markets22 cited
  • 2004Interaction among China-related stocks: evidence from a causality test with a new procedure22 cited