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Dynamic interdependence and volatility transmission of Asian stock markets
16 references·16 citing·36 second hopsampled
Dynamic interdependence and volatility transmission of Asian stock markets (2001)Dynamic interdependence and volatility tr…Volatility spillovers across equity markets: European evidence (1998)Volatility spillovers across …Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Mean and Volatility Spillover Effects in the U.S. and Pacific–Basin Stock Markets (1997)Mean and Volatility Spillover…International Asset Pricing and Portfolio Diversification with Time-Varying Risk (1997)International Asset Pricing a…Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Why Do Markets Move Together?…Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements (1996)Why Do Markets Move Together?…MODELING THE DYNAMIC INTERDEPENDENCE OF MAJOR EUROPEAN STOCK MARKETS (1996)MODELING THE DYNAMIC INTERDEP…Asymmetric volatility transmission in international stock markets (1995)Asymmetric volatility transmi…Hourly volatility spillovers between international equity markets (1994)Hourly volatility spillovers …Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…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 financeStock Volatility and the Crash of '87: Discussion (1990)Stock Volatility and the Cras…Discussion (1990)DiscussionCorrelations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Volatility spillovers among Northeast Asia and the US: Evidence from the global financial crisis and the COVID-19 pandemic (2021)Volatility spillovers among N…Volatility as a Transmitter of Systemic Risk: Is there a Structural Risk in Finance? (2020)Volatility as a Transmitter o…Return and Volatility Transmission between World-Leading and Latin American Stock Markets: Portfolio Implications (2020)Return and Volatility Transmi…Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis (2018)Quantile dependence between d…Dynamic spillovers between Nigerian, South African and international equity markets (2016)Dynamic spillovers between Ni…Improving international diversification benefits for US investors (2015)Improving international diver…Stock market correlations between China and its emerging market neighbors (2011)Stock market correlations bet…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…Multiple Regimes and Volatility Transmission in Securitized Real Estate Markets (2009)Multiple Regimes and Volatili…Information transmission between Islamic stock indices in South East Asia (2009)Information transmission betw…Modelling the interactions across international stock, bond and foreign exchange markets (2008)Modelling the interactions ac…Volatility spillovers across international swap markets: The US, Japan, and the UK (2007)Volatility spillovers across …Interdependence of international equity variances: Evidence from East Asian markets (2007)Interdependence of internatio…The linkage between the US and Korean stock markets: the case of NASDAQ, KOSDAQ, and the semiconductor stocks (2004)The linkage between the US an…International transmission of uncertainty implicit in stock index option prices (2004)International transmission of…The influence of foreign stock markets and macroeconomic news announcements on Australian financial markets (2002)The influence of foreign stoc…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)Dynamic Conditional Correlation (2002)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Price discovery and volatility spillovers in the DJIA index and futures markets (1999)Dynamic stock market integration driven by the European Monetary Union: An empirical analysis (2005)Pandemic-Related Financial Market Volatility Spillovers: Evidence from the Chinese COVID-19 Epicentre (2020)Expected stock returns and volatility (1987)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers (2015)COVID-19 and stock market volatility: An industry level analysis (2020)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)PORTFOLIO SELECTION* (1952)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Volatility in Emerging Stock Markets (1999)A New Approach to Measuring Financial Contagion (2000)Emerging markets finance (2003)The Variation of Certain Speculative Prices (1963)The theory and practice of econometrics (1986)The day of the week effect on stock market volatility and volume: International evidence (2003)Co-movements of GCC emerging stock markets: New evidence from wavelet coherence analysis (2013)Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets (2014)The Behavior of Stock-Market Prices (1965)Transmission of Volatility between Stock Markets (1990)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)International comovement of stock market returns: A wavelet analysis (2009)Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)What good is a volatility model? (2001)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)
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References

  • 1992ARCH modeling in finance4,288 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 1996Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements867 cited
  • 1997International Asset Pricing and Portfolio Diversification with Time-Varying Risk812 cited
  • 1993Measuring and Testing the Impact of News on Volatility755 cited
  • 1995Asymmetric volatility transmission in international stock markets728 cited
  • 1994Hourly volatility spillovers between international equity markets389 cited
  • 1993MEAN AND VOLATILITY SPILLOVERS ACROSS MAJOR NATIONAL STOCK MARKETS: FURTHER EMPIRICAL EVIDENCE313 cited
  • 1990Discussion229 cited
  • 1997Mean and Volatility Spillover Effects in the U.S. and Pacific–Basin Stock Markets205 cited
  • 1990Stock Volatility and the Crash of '87: Discussion199 cited
  • 1996Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements196 cited
  • 1996MODELING THE DYNAMIC INTERDEPENDENCE OF MAJOR EUROPEAN STOCK MARKETS

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195 cited
  • 1998Volatility spillovers across equity markets: European evidence181 cited
  • Cited by

    • 2007Interdependence of international equity variances: Evidence from East Asian markets77 cited
    • 2021Volatility spillovers among Northeast Asia and the US: Evidence from the global financial crisis and the COVID-19 pandemic76 cited
    • 2011Stock market correlations between China and its emerging market neighbors66 cited
    • 2009Multiple Regimes and Volatility Transmission in Securitized Real Estate Markets50 cited
    • 2004International transmission of uncertainty implicit in stock index option prices50 cited
    • 2007Volatility spillovers across international swap markets: The US, Japan, and the UK41 cited
    • 2008Modelling the interactions across international stock, bond and foreign exchange markets39 cited
    • 2018Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis38 cited
    • 2020Volatility as a Transmitter of Systemic Risk: Is there a Structural Risk in Finance?38 cited
    • 2011Changes in stock markets interdependencies as a result of the global financial crisis: Empirical investigation on the CEE region36 cited
    • 2015Improving international diversification benefits for US investors35 cited
    • 2002The influence of foreign stock markets and macroeconomic news announcements on Australian financial markets34 cited
    • 2020Return and Volatility Transmission between World-Leading and Latin American Stock Markets: Portfolio Implications32 cited
    • 2016Dynamic spillovers between Nigerian, South African and international equity markets28 cited
    • 2004The linkage between the US and Korean stock markets: the case of NASDAQ, KOSDAQ, and the semiconductor stocks27 cited
    • 2009Information transmission between Islamic stock indices in South East Asia26 cited