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The co-movement of stock markets in East Asia
16 references·16 citing·32 second hopsampled
The co-movement of stock markets in East Asia (2009)The co-movement of stock markets in East …No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Why Do Markets Move Together?…Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …How Important to India's Poor Is the Sectoral Composition of Economic Growth? (1996)How Important to India's Poor…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Efficient Capital Markets: II (1991)Efficient Capital Markets: IICorrelations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…International Transmission of Stock Market Movements (1989)International Transmission of…Testing for Common Trends (1988)Testing for Common TrendsCo-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…A bibliometric review of financial market integration literature (2022)A bibliometric review of fina…Volatility spillovers among Northeast Asia and the US: Evidence from the global financial crisis and the COVID-19 pandemic (2021)Volatility spillovers among N…Measuring contagion during COVID-19 through volatility spillovers of BRIC countries using diagonal BEKK approach (2021)Measuring contagion during CO…Influence of COVID-19 pandemic on the tourism sector: evidence from China and United States stocks (2021)Influence of COVID-19 pandemi…Stock market integration in East and Southeast Asia: The role of global factors (2019)Stock market integration in E…Global and regional stock market integration in Asia: A panel convergence approach (2019)Global and regional stock mar…Financial cointegration and spillover effect of global financial crisis: a study of emerging Asian financial markets (2019)Financial cointegration and s…Equity market integration of China and Southeast Asian countries: further evidence from MGARCH-ADCC and wavelet coherence analysis (2019)Equity market integration of …International stock market contagion: A CEEMDAN wavelet analysis (2018)International stock market co…Volatility Spillovers and Linkages in Asian Stock Markets (2017)Volatility Spillovers and Lin…Measuring financial market risk contagion using dynamic MRS-Copula models: The case of Chinese and other international stock markets (2015)Measuring financial market ri…Who moves East Asian stock markets? The role of the 2007–2009 global financial crisis (2013)Who moves East Asian stock ma…Integration of world leaders and emerging powers into the Malaysian stock market: A DCC-MGARCH approach (2013)Integration of world leaders …China's financial linkages with Asia and the global financial crisis (2013)China's financial linkages wi…Enter the dragon: Interactions between Chinese, US and Asia-Pacific equity markets, 1995–2010 (2012)Enter the dragon: Interaction…Changes in stock markets interdependencies as a result of the global financial crisis: Empirical investigation on the CEE region (2011)Changes in stock markets inte…Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Macroeconomics and Reality (1980)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)ARCH modeling in finance (1992)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! 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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1988Testing for Common Trends1,894 cited
  • 1996How Important to India's Poor Is the Sectoral Composition of Economic Growth?1,789 cited
  • 1989International Transmission of Stock Market Movements

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1,412 cited
  • 1996Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements867 cited
  • Cited by

    • 2013Who moves East Asian stock markets? The role of the 2007–2009 global financial crisis119 cited
    • 2022A bibliometric review of financial market integration literature118 cited
    • 2019Financial cointegration and spillover effect of global financial crisis: a study of emerging Asian financial markets113 cited
    • 2019Stock market integration in East and Southeast Asia: The role of global factors94 cited
    • 2021Volatility spillovers among Northeast Asia and the US: Evidence from the global financial crisis and the COVID-19 pandemic76 cited
    • 2012Enter the dragon: Interactions between Chinese, US and Asia-Pacific equity markets, 1995–201068 cited
    • 2021Measuring contagion during COVID-19 through volatility spillovers of BRIC countries using diagonal BEKK approach67 cited
    • 2013China's financial linkages with Asia and the global financial crisis62 cited
    • 2015Measuring financial market risk contagion using dynamic MRS-Copula models: The case of Chinese and other international stock markets60 cited
    • 2019Global and regional stock market integration in Asia: A panel convergence approach59 cited
    • 2017Volatility Spillovers and Linkages in Asian Stock Markets59 cited
    • 2013Integration of world leaders and emerging powers into the Malaysian stock market: A DCC-MGARCH approach57 cited
    • 2018International stock market contagion: A CEEMDAN wavelet analysis54 cited
    • 2021Influence of COVID-19 pandemic on the tourism sector: evidence from China and United States stocks40 cited
    • 2019Equity market integration of China and Southeast Asian countries: further evidence from MGARCH-ADCC and wavelet coherence analysis38 cited
    • 2011Changes in stock markets interdependencies as a result of the global financial crisis: Empirical investigation on the CEE region36 cited