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Stock Market Integration: Granger Causality Testing with Respect to Nonsynchronous Trading Effects
16 references·3 citing·36 second hop
Stock Market Integration: Granger Causality Testing with Respect to Nonsynchronous Trading Effects (2010)Stock Market Integration: Granger Causali…The Econometrics of Financial Markets (2012)The Econometrics of Financial…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Returns synchronization and daily correlation dynamics between international stock markets (2001)Returns synchronization and d…Long and short term dynamic causal transmission amongst international stock markets (2001)Long and short term dynamic c…Volatility and cross correlation across major stock markets (1998)Volatility and cross correlat…Holiday Effects and Stock Returns: Further Evidence (1994)Holiday Effects and Stock Ret…The International Crash of October 1987: Causality Tests (1992)The International Crash of Oc…International Transmission of Stock Market Movements (1989)International Transmission of…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…The Relationship Between Equity Indices on World Exchanges (1979)The Relationship Between Equi…World, Country, and Industry Relationships in Equity Returns: Implications for Risk Reduction through International Diversification (1976)World, Country, and Industry …WORLD, NATIONAL, AND INDUSTRY FACTORS IN EQUITY RETURNS (1974)WORLD, NATIONAL, AND INDUSTRY…Systematic Elements in the Linkage of National Stock Market Indices (1973)Systematic Elements in the Li…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)Internationally Diversified P…Some New Stock-Market Indexes (1966)Some New Stock-Market IndexesMultidimensional risk spillovers among crude oil, the US and Chinese stock markets: Evidence during the COVID-19 epidemic (2021)Multidimensional risk spillov…Investments in the public sector of economy and shortage of certainty on the way of Russia’s mastering of modern economic mechanisms (2015)Investments in the public sec…Price and Volatility Spillovers in the Case of Stock Markets Located in Different Time Zones (2013)Price and Volatility Spillove…Portfolio Selection: Efficient Diversification of Investments (1959)Does industrial structure explain the benefits of international diversification? (1994)International comovement of stock market returns: A wavelet analysis (2009)International Diversification of Investment Portfolios (1970)Why Not Diversify Internationally Rather Than Domestically? (1974)DOES THE OCTOBER 1987 CRASH STRENGTHEN THE CO‐MOVEMENTS AMONG NATIONAL STOCK MARKETS? (1993)Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets (1999)Market and Industry Factors in Stock Price Behavior (1966)ON THE ASSESSMENT OF RISK (1971)Corporate International Diversification and Market Assigned Measures of Risk and Diversification (1975)The Internationalisation of Stock Markets and the Abolition of U.K. Exchange Control (1989)International Listings of Stocks: The Case of Canada and the U.S. (1993)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)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Distribution of Stock Return Volatility (2000)International asset allocation under regime switching, skew, and kurtosis preferences (2008)Modeling International Financial Returns with a Multivariate Regime-switching Copula (2009)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)Transaction costs and the small firm effect (1983)An Investigation of Transactions Data for NYSE Stocks (1985)Risk aversion, uncertain information, and market efficiency (1988)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)Oil and the Macroeconomy since World War II (1983)Testing for Granger non-causality in heterogeneous panels (2012)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

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1968Internationally Diversified Portfolios: Welfare Gains and Capital Flows1,025 cited
  • 1966Some New Stock-Market Indexes538 cited
  • 1998Volatility and cross correlation across major stock markets525 cited
  • 1979The Relationship Between Equity Indices on World Exchanges339 cited
  • 1974WORLD, NATIONAL, AND INDUSTRY FACTORS IN EQUITY RETURNS303 cited
  • 1976World, Country, and Industry Relationships in Equity Returns: Implications for Risk Reduction through International Diversification294 cited
  • 2001Long and short term dynamic causal transmission amongst international stock markets290 cited
  • 1992The International Crash of October 1987: Causality Tests275 cited
  • 2001Returns synchronization and daily correlation dynamics between international stock markets231 cited
  • 1973Systematic Elements in the Linkage of National Stock Market Indices

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216 cited
  • 1994Holiday Effects and Stock Returns: Further Evidence208 cited
  • Cited by

    • 2021Multidimensional risk spillovers among crude oil, the US and Chinese stock markets: Evidence during the COVID-19 epidemic87 cited
    • 2013Price and Volatility Spillovers in the Case of Stock Markets Located in Different Time Zones27 cited
    • 2015Investments in the public sector of economy and shortage of certainty on the way of Russia’s mastering of modern economic mechanisms1 cited