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Returns and volatility spillover between stock prices and exchange rates
16 references·16 citing·40 second hopsampled
Returns and volatility spillover between stock prices and exchange rates (2013)Returns and volatility spillover between …Introductory Econometrics for Finance (2008)Introductory Econometrics for…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2007)Measuring Financial Asset Ret…Stock prices and exchange rate dynamics (2005)Stock prices and exchange rat…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)A bivariate causality between…No Contagion, Only Interdependence: Measuring Stock Market Co-movements (1999)No Contagion, Only Interdepen…Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines (1997)Exchange rate and stock price…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Stock prices and the effective exchange rate of the dollar (1992)Stock prices and the effectiv…Intra-Day and Inter-Market Volatility in Foreign Exchange Rates (1991)Intra-Day and Inter-Market Vo…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Meteor Showers or Heat Waves?…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1988)Meteor Showers or Heat Waves?…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Exchange Rates and the Current Account. (1980)Exchange Rates and the Curren…Capital Mobility and Stabilization Policy Under Fixed and Flexible Exchange Rates (1963)Capital Mobility and Stabiliz…Stock market volatility: a systematic review (2023)Stock market volatility: a sy…The dynamic connectedness and hedging opportunities of implied and realized volatility: Evidence from clean energy ETFs (2022)The dynamic connectedness and…Two decades of contagion effect on stock markets: Which events are more contagious? (2021)Two decades of contagion effe…On spillover effects between cryptocurrency-linked stocks and the cryptocurrency market: Evidence from Australia (2021)On spillover effects between …Financial inclusion and human development in frontier countries (2020)Financial inclusion and human…Asymmetrical relationship between oil prices, gold prices, exchange rate, and stock prices during global financial crisis 2008: Evidence from Pakistan (2020)Asymmetrical relationship bet…The dynamic impact of foreign portfolio investment on stock prices in Pakistan (2019)The dynamic impact of foreign…Return and volatility spillover across equity markets between China and Southeast Asian countries (2019)Return and volatility spillov…An analysis of CEE equity market integration and their volatility spillover effects (2019)An analysis of CEE equity mar…Asymmetric volatility transmission between the real exchange rate and stock returns in South Africa (2018)Asymmetric volatility transmi…Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets? (2017)Good volatility, bad volatili…Asymmetry in spillover effects: Evidence for international stock index futures markets (2017)Asymmetry in spillover effect…Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies (2016)Return and volatility spillov…Country ETF returns and volatility spillovers in emerging stock markets, Europe and USA (2016)Country ETF returns and volat…An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries (2016)An investigation of return an…A variance spillover analysis without covariances: what do we miss? 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this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 2008Introductory Econometrics for Finance3,662 cited
  • 1963Capital Mobility and Stabilization Policy Under Fixed and Flexible Exchange Rates2,697 cited
  • 1980Exchange Rates and the Current Account.1,042 cited
  • 1999No Contagion, Only Interdependence: Measuring Stock Market Co-movements968 cited
  • 1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market840 cited
  • 1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market786 cited
  • 2000A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆785 cited
  • 2007Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets501 cited
  • 1992Stock prices and the effective exchange rate of the dollar489 cited
  • 1991Intra-Day and Inter-Market Volatility in Foreign Exchange Rates489 cited

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1997
Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines
466 cited
  • 2005Stock prices and exchange rate dynamics459 cited
  • Cited by

    • 2020Financial inclusion and human development in frontier countries113 cited
    • 2020Asymmetrical relationship between oil prices, gold prices, exchange rate, and stock prices during global financial crisis 2008: Evidence from Pakistan111 cited
    • 2016Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies88 cited
    • 2023Stock market volatility: a systematic review86 cited
    • 2021Two decades of contagion effect on stock markets: Which events are more contagious?84 cited
    • 2019Return and volatility spillover across equity markets between China and Southeast Asian countries80 cited
    • 2017Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets?77 cited
    • 2014A variance spillover analysis without covariances: what do we miss?75 cited
    • 2018Asymmetric volatility transmission between the real exchange rate and stock returns in South Africa57 cited
    • 2016Country ETF returns and volatility spillovers in emerging stock markets, Europe and USA50 cited
    • 2019An analysis of CEE equity market integration and their volatility spillover effects49 cited
    • 2021On spillover effects between cryptocurrency-linked stocks and the cryptocurrency market: Evidence from Australia46 cited
    • 2019The dynamic impact of foreign portfolio investment on stock prices in Pakistan45 cited
    • 2016An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries39 cited
    • 2022The dynamic connectedness and hedging opportunities of implied and realized volatility: Evidence from clean energy ETFs37 cited
    • 2017Asymmetry in spillover effects: Evidence for international stock index futures markets36 cited