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The Co‐movement Dynamics of European Frontier Stock Markets
16 references·16 citing·42 second hopsampled
The Co‐movement Dynamics of European Frontier Stock Markets (2012)The Co‐movement Dynamics of European Fron…International diversification with frontier markets (2011)International diversification…Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets (2011)Dynamic correlation analysis …International comovement of stock market returns: A wavelet analysis (2009)International comovement of s…Global market integration: An alternative measure and its application☆ (2009)Global market integration: An…A GUIDE TO WAVELETS FOR ECONOMISTS* (2007)A GUIDE TO WAVELETS FOR ECONO…The rise in comovement across national stock markets: market integration or IT bubble? (2004)The rise in comovement across…The relationship between stock returns and inflation: new evidence from wavelet analysis (2004)The relationship between stoc…The structure of interdependence in international stock markets (2003)The structure of interdepende…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…An Introduction to Wavelets and Other Filtering Methods in Finance and Economics (2002)An Introduction to Wavelets a…No Contagion, Only Interdependence: Measuring Stock Market Co-movements (1999)No Contagion, Only Interdepen…Measuring International Economic Linkages with Stock Market Data (1996)Measuring International Econo…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Do Bulls and Bears Move Acros…Time-Varying Dependence in European Equity Markets: A Contagion and Investor Sentiment Driven Analysis (2019)Time-Varying Dependence in Eu…Dynamic relationship analysis between NAFTA stock markets using nonlinear, nonparametric, non-stationary methods (2019)Dynamic relationship analysis…The interconnections between U.S. financial CDS spreads and control variables: New evidence using partial and multivariate wavelet coherences (2018)The interconnections between …Future directions in international financial integration research - A crowdsourced perspective (2017)Future directions in internat…Are Vietnam and Chinese stock markets out of the US contagion effect in extreme events? 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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 2002An Introduction to Wavelets and Other Filtering Methods in Finance and Economics1,072 cited
  • 1999No Contagion, Only Interdependence: Measuring Stock Market Co-movements968 cited
  • 1994Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility874 cited
  • 2009International comovement of stock market returns: A wavelet analysis843 cited
  • 2009Global market integration: An alternative measure and its application☆621 cited
  • 2007A GUIDE TO WAVELETS FOR ECONOMISTS*422 cited
  • 2003The structure of interdependence in international stock markets413 cited
  • 2011Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets391 cited
  • 2004The rise in comovement across national stock markets: market integration or IT bubble?263 cited
  • 2011International diversification with frontier markets232 cited
  • 1996Measuring International Economic Linkages with Stock Market Data

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201 cited
  • 2004The relationship between stock returns and inflation: new evidence from wavelet analysis200 cited
  • Cited by

    • 2012Co-movement of oil and stock prices in the GCC region: A wavelet analysis136 cited
    • 2015The political risk factor in emerging, frontier, and developed stock markets104 cited
    • 2015Impact of financial market uncertainty and macroeconomic factors on stock–bond correlation in emerging markets95 cited
    • 2015Continuous wavelet transform and rolling correlation of European stock markets89 cited
    • 2015Correlations between oil and stock markets: A wavelet-based approach83 cited
    • 2013Bond markets co-movement dynamics and macroeconomic factors: Evidence from emerging and frontier markets73 cited
    • 2012Global and regional co-movement of the MENA stock markets63 cited
    • 2019Time-Varying Dependence in European Equity Markets: A Contagion and Investor Sentiment Driven Analysis62 cited
    • 2017Future directions in international financial integration research - A crowdsourced perspective56 cited
    • 2018The interconnections between U.S. financial CDS spreads and control variables: New evidence using partial and multivariate wavelet coherences55 cited
    • 2017A fresh look at integration of risks in the international stock markets: A wavelet approach44 cited
    • 2014Tests of Financial Market Contagion: Evolutionary Cospectral Analysis Versus Wavelet Analysis42 cited
    • 2017Are Vietnam and Chinese stock markets out of the US contagion effect in extreme events?38 cited
    • 2019Dynamic relationship analysis between NAFTA stock markets using nonlinear, nonparametric, non-stationary methods38 cited
    • 2015Business cycle synchronization in Asia-Pacific: New evidence from wavelet analysis38 cited
    • 2015Real growth co-movements and business cycle synchronization in the GCC countries: Evidence from time-frequency analysis35 cited