SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Transmission of Stock Returns and Volatility between the U.S. and Japan: Evidence from the Stock Index Futures Markets
16 references·0 citing·37 second hop
Transmission of Stock Returns and Volatility between the U.S. and Japan: Evidence from the Stock Index Futures Markets (1998)Transmission of Stock Returns and Volatil…Hourly volatility spillovers between international equity markets (1994)Hourly volatility spillovers …Good news, bad news and international spillovers of stock return volatility between Japan and the U.S. (1994)Good news, bad news and inter…Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Do Bulls and Bears Move Acros…A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns (1994)A Tale of Three Schools: Insi…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…MEAN AND VOLATILITY SPILLOVERS ACROSS MAJOR NATIONAL STOCK MARKETS: FURTHER EMPIRICAL EVIDENCE (1993)MEAN AND VOLATILITY SPILLOVER…ARCH modeling in finance (1992)ARCH modeling in financeA Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market (1992)A Further Analysis of the Lea…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…The Dynamics of Stock Index and Stock Index Futures Returns (1990)The Dynamics of Stock Index a…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…International Stock Price Movements: Links and Messages (1989)International Stock Price Mov…Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Information and Volatility: T…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)A Theory of Intraday Patterns: Volume and Price Variability (1988)Noise Trader Risk in Financial Markets (1990)Chapter 49 Arch models (1994)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Predicting Volatility in the Foreign Exchange Market (1995)From value at risk to stress testing: The extreme value approach (2000)The Behavior of Stock-Market Prices (1965)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)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)Macroeconomics and Reality (1980)Common stochastic trends in international stock markets (1992)A New Approach to Measuring Financial Contagion (2003)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Stock return variances (1986)Mean reversion in stock prices (1988)Emerging equity market volatility (1997)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)Competition and Financial Stability (2004)
this work references cited by second hop

References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy1,047 cited
  • 1994Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility874 cited
  • 1990The Dynamics of Stock Index and Stock Index Futures Returns803 cited
  • 1992A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market635 cited
  • 1994Hourly volatility spillovers between international equity markets389 cited
  • 1994A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns374 cited
  • 1993MEAN AND VOLATILITY SPILLOVERS ACROSS MAJOR NATIONAL STOCK MARKETS: FURTHER EMPIRICAL EVIDENCE313 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1989
International Stock Price Movements: Links and Messages
246 cited
  • 1994Good news, bad news and international spillovers of stock return volatility between Japan and the U.S.223 cited
  • Cited by

    No citing works inside the corpus for this window.