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The transmission of shocks among S&P indexes
16 references·11 citing·46 second hop
The transmission of shocks among S&P indexes (2002)The transmission of shocks among S&P inde…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Stock Return Predictability and The Role of Monetary Policy (1997)Stock Return Predictability a…Stochastic Trends in Stock Prices: Evidence from Latin American Markets (1997)Stochastic Trends in Stock Pr…On Stock Market Returns and Monetary Policy (1997)On Stock Market Returns and M…International Stock Market Efficiency and Integration: A Study of Eighteen Nations (1997)International Stock Market Ef…Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Why Do Markets Move Together?…Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …The long-run gains from international equity diversification: Australian evidence from cointegration tests (1995)The long-run gains from inter…Stock market interdependencies: Evidence from the asian NIEs (1994)Stock market interdependencie…Introduction to Multiple Time Series Analysis (1993)Introduction to Multiple Time…Common stochastic trends in international stock markets (1992)Common stochastic trends in i…Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation (1992)Causal Relations Among Stock …Economic Forces and the Stock Market (1986)Economic Forces and the Stock…The Fiscal and Monetary Linkage Between Stock Returns and Inflation (1983)The Fiscal and Monetary Linka…Macroeconomics and Reality (1980)Macroeconomics and RealityAsset returns and inflation (1977)Asset returns and inflationSystemic risk contagion of green and Islamic markets with conventional markets (2023)Systemic risk contagion of gr…Quantifying systemic risk in US industries using neural network quantile regression (2022)Quantifying systemic risk in …What drives dynamic connectedness of the U.S equity sectors during different business cycles? (2021)What drives dynamic connected…Sectoral Contributions to Systemic Risk in the Chinese Stock Market (2018)Sectoral Contributions to Sys…Country ETF returns and volatility spillovers in emerging stock markets, Europe and USA (2016)Country ETF returns and volat…An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries (2016)An investigation of return an…Government bond market linkages: evidence from Europe (2005)Government bond market linkag…Modeling volatility in sector index returns with GARCH models using an iterated algorithm (2004)Modeling volatility in sector…Shocks to macroeconomic state variables and the risk premium of REITs (2003)Shocks to macroeconomic state…Information flows within and across sectors in Chinese stock markets (2003)Information flows within and …Macroeconomic news and the returns of financial companies (2002)Macroeconomic news and the re…Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)The arbitrage theory of capital asset pricing (1976)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Firm Size and Cyclical Variations in Stock Returns (2000)An Empirical Analysis of Stock and Bond Market Liquidity (2004)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)The econometrics of financial markets (1996)Country spreads and emerging countries: Who drives whom? (2005)Stock prices and exchange rate dynamics (2005)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Stock Returns and the Term Structure (1985)Stock Returns, Expected Returns, and Real Activity (1990)Oil price shocks and stock market activity (1999)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)International Asset Pricing and Portfolio Diversification with Time-Varying Risk (1997)International comovement of stock market returns: A wavelet analysis (2009)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Introductory Econometrics for Finance (2008)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)
this work references cited by second hop

References

  • 1980Macroeconomics and Reality12,826 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 1977Asset returns and inflation2,701 cited
  • 1993Introduction to Multiple Time Series Analysis1,912 cited
  • 1983The Fiscal and Monetary Linkage Between Stock Returns and Inflation978 cited
  • 1992Common stochastic trends in international stock markets944 cited
  • 1997On Stock Market Returns and Monetary Policy931 cited
  • 1996Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements867 cited
  • 1992Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation551 cited
  • 1997Stock Return Predictability and The Role of Monetary Policy541 cited
  • 1997International Stock Market Efficiency and Integration: A Study of Eighteen Nations268 cited
  • 1997Stochastic Trends in Stock Prices: Evidence from Latin American Markets169 cited
  • 1994Stock market interdependencies: Evidence from the asian NIEs159 cited

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1995
The long-run gains from international equity diversification: Australian evidence from cointegration tests
97 cited

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  • 2021What drives dynamic connectedness of the U.S equity sectors during different business cycles?48 cited
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  • 2016An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries39 cited
  • 2003Shocks to macroeconomic state variables and the risk premium of REITs38 cited
  • 2022Quantifying systemic risk in US industries using neural network quantile regression36 cited
  • 2004Modeling volatility in sector index returns with GARCH models using an iterated algorithm33 cited
  • 2023Systemic risk contagion of green and Islamic markets with conventional markets26 cited
  • 2005Government bond market linkages: evidence from Europe26 cited
  • 2002Macroeconomic news and the returns of financial companies26 cited