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Regularities in the data between major equity markets: evidence from Granger causality tests
7 references·9 citing·52 second hop
Regularities in the data between major equity markets: evidence from Granger causality tests (1993)Regularities in the data between major eq…The World Price of Covariance Risk (1991)The World Price of Covariance…High Road to a Global Marketplace: The International Transmission of Stock Market Fluctuations (1990)High Road to a Global Marketp…Stock Volatility and the Crash of '87 (1989)Stock Volatility and the Cras…International Transmission of Stock Market Movements (1989)International Transmission of…The International Crash of October 1987 (1988)The International Crash of Oc…Are National Stock Markets Linked? (1988)Are National Stock Markets Li…THE RELATIONS AMONG EQUITY MARKETS: A STUDY OF SHARE PRICE CO‐MOVEMENTS IN THE UNITED STATES, UNITED KINGDOM, GERMANY AND JAPAN (1972)THE RELATIONS AMONG EQUITY MA…Does Islamic equity investment provide diversification benefits to conventional investors? Evidence from the multivariate GARCH analysis (2017)Does Islamic equity investmen…International stock market efficiency and integration (2015)International stock market ef…Literature review of stock market integration: a global perspective (2012)Literature review of stock ma…Stock Markets Integration: Examining Linkages between Selected World Markets (2009)Stock Markets Integration: Ex…Cointegration and asset allocation: a new active hedge fund strategy (2002)Cointegration and asset alloc…Pre- and post-1987 crash frequency domain analysis among Pacific Rim equity markets (2001)Pre- and post-1987 crash freq…Dynamic Modeling of Stock Market Interdependencies: An Empirical Investigation of Australia and the Asian NICs (2001)Dynamic Modeling of Stock Mar…NAFTA and North American stock market linkages: an empirical note (1999)NAFTA and North American stoc…International portfolio diversification: a synthesis and an update (1997)International portfolio diver…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The relation between implied and realized volatility (1998)Idiosyncratic Risk Matters! (2003)There is a risk-return trade-off after all (2005)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for Common Trends (1988)Common stochastic trends in international stock markets (1992)Cointegration between oil spot and future prices of the same and different grades in the presence of structural change (2009)Dynamic modeling of mean-reverting spreads for statistical arbitrage (2009)A Signal Processing Perspective on Financial Engineering (2016)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Short- and long-term links among European and US stock markets (1999)Stock Prices and Exchange Rate Dynamics (2000)Does Heterogeneity in Investment Horizons Affect Portfolio Diversification? Some Insights Using M-GARCH-DCC and Wavelet Correlation Analysis (2015)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)International Diversification of Investment Portfolios (1970)Why Not Diversify Internationally Rather Than Domestically? (1974)Leads, Lags, and Trading in Global Markets (1998)Common stochastic trends and volatility in Asian-Pacific equity markets (1999)International financial integration in Asian bond markets (2008)Investor Diversification and International Equity Markets (1991)Time‐Varying World Market Integration (1995)Portfolio selection with skewness in emerging market industries (2007)A M arkowitz Optimization of Commodity Futures Portfolios (2012)Correlations between oil and stock markets: A wavelet-based approach (2015)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A further look at linkages between NAFTA equity markets (2006)Linkages between emerging and developed equity markets: Empirical evidence in the PMG framework (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)The Risk and Predictability of International Equity Returns (1993)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Common Risk Factors in Currency Markets (2011)Macroeconomics and Reality (1980)A New Approach to Measuring Financial Contagion (2003)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Portfolio Selection: Efficient Diversification of Investments (1959)Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios (1969)Assessing international diversification of West German corporations (1987)Evolution in dynamic linkages across daily national stock indexes (1991)Common Volatility in International Equity Markets (1993)Causality in temporal systems (1977)Comparing alternative tests of causality in temporal systems (1983)Critical market crashes (2003)The big, bad wolf and the rational market: portfolio insurance, the 1987 crash and the performativity of economics (2004)Exchange trading rules and stock market liquidity☆ (2010)
this work references cited by second hop

References

  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1991The World Price of Covariance Risk1,139 cited
  • 1989Stock Volatility and the Crash of '871,045 cited
  • 1988The International Crash of October 1987394 cited
  • 1972THE RELATIONS AMONG EQUITY MARKETS: A STUDY OF SHARE PRICE CO‐MOVEMENTS IN THE UNITED STATES, UNITED KINGDOM, GERMANY AND JAPAN291 cited
  • 1988Are National Stock Markets Linked?79 cited
  • 1990High Road to a Global Marketplace: The International Transmission of Stock Market Fluctuations72 cited

Cited by

  • 1997International portfolio diversification: a synthesis and an update64 cited
  • 1999NAFTA and North American stock market linkages: an empirical note62 cited
  • 2002Cointegration and asset allocation: a new active hedge fund strategy60 cited
  • 2012Literature review of stock market integration: a global perspective55 cited
  • 2017Does Islamic equity investment provide diversification benefits to conventional investors? Evidence from the multivariate GARCH analysis42 cited
  • 2009Stock Markets Integration: Examining Linkages between Selected World Markets33 cited
  • 2015International stock market efficiency and integration32 cited
  • 2001

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Pre- and post-1987 crash frequency domain analysis among Pacific Rim equity markets
30 cited
  • 2001Dynamic Modeling of Stock Market Interdependencies: An Empirical Investigation of Australia and the Asian NICs28 cited