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INFORMATION, TRADING VOLUME AND INTERNATIONAL STOCK MARKET COMOVEMENTS
16 references·0 citing·36 second hop
INFORMATION, TRADING VOLUME AND INTERNATIONAL STOCK MARKET COMOVEMENTS (2004)INFORMATION, TRADING VOLUME AND INTERNATI…The Econometrics of Financial Markets (2012)The Econometrics of Financial…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Differential Interpretation of Public Signals and Trade in Speculative Markets (1995)Differential Interpretation o…Market Statistics and Technical Analysis: The Role of Volume (1994)Market Statistics and Technic…Trading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…Differences of Opinion Make a Horse Race (1993)Differences of Opinion Make a…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…International Transmission of Stock Market Movements (1989)International Transmission of…Liquidity and Market Structure (1988)Liquidity and Market StructureThe Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…An equilibrium model of the international capital market (1974)An equilibrium model of the i…Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Emerging equity market volatility (1997)International Asset Allocation With Regime Shifts (2002)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Impossibility of Informationally Efficient Markets (1980)Continuous Auctions and Insider Trading (1985)Noise Trader Risk in Financial Markets (1990)What Makes Investors Trade? (2001)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Individualism and Momentum around the World (2010)The Behavior of Stock-Market Prices (1965)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Why Does Stock Market Volatility Change Over Time? (1989)Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Price Momentum and Trading Volume (2000)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Stock return variances (1986)Mean reversion in stock prices (1988)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)The Information Content of Annual Earnings Announcements (1968)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Market liquidity and volume around earnings announcements (1994)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Econometric Analysis of Cross Section and Panel Data (2001)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Extreme Correlation of International Equity Markets (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 1993Differences of Opinion Make a Horse Race1,650 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1995Differential Interpretation of Public Signals and Trade in Speculative Markets1,192 cited
  • 1974An equilibrium model of the international capital market1,130 cited

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  • 1994Market Statistics and Technical Analysis: The Role of Volume1,105 cited
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