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Explaining co-movements between stock markets: The case of US and Germany
16 references·8 citing·38 second hop
Explaining co-movements between stock markets: The case of US and Germany (2005)Explaining co-movements between stock mar…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Identification Through Heteroskedasticity (2003)Identification Through Hetero…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Evolving Post-World War II U.S. Inflation Dynamics (2001)Evolving Post-World War II U.…Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Monetary Policy Rules and Mac…Monetary Policy and Asset Price Volatility (2000)Monetary Policy and Asset Pri…Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Why Do Markets Move Together?…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…Common stochastic trends in international stock markets (1992)Common stochastic trends in i…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…International Transmission of Stock Market Movements (1989)International Transmission of…Specification Tests in Econometrics (1978)Specification Tests in Econom…Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)Internationally Diversified P…Economic uncertainty and structural reforms: Evidence from stock market volatility (2022)Economic uncertainty and stru…Time-frequency information transmission among financial markets: evidence from implied volatility (2021)Time-frequency information tr…INVESTIGATING ABNORMAL VOLATILITY TRANSMISSION PATTERNS BETWEEN EMERGING AND DEVELOPED STOCK MARKETS: A CASE STUDY (2020)INVESTIGATING ABNORMAL VOLATI…Interindustry volatility spillover effects in China’s stock market (2019)Interindustry volatility spil…Has there been any change in the comovement between the Chinese and US stock markets? 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this work references cited by second hop

References

  • 1978Specification Tests in Econometrics18,788 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*4,631 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 2000Monetary Policy and Asset Price Volatility1,274 cited
  • 1968Internationally Diversified Portfolios: Welfare Gains and Capital Flows1,025 cited
  • 1992Common stochastic trends in international stock markets944 cited
  • 2003Identification Through Heteroskedasticity922 cited
  • 2001Evolving Post-World War II U.S. Inflation Dynamics914 cited
  • 1994Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility874 cited

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1996
Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements
867 cited

Cited by

  • 2013Has there been any change in the comovement between the Chinese and US stock markets?65 cited
  • 2019Interindustry volatility spillover effects in China’s stock market52 cited
  • 2020INVESTIGATING ABNORMAL VOLATILITY TRANSMISSION PATTERNS BETWEEN EMERGING AND DEVELOPED STOCK MARKETS: A CASE STUDY45 cited
  • 2021Time-frequency information transmission among financial markets: evidence from implied volatility37 cited
  • 2010News and correlations of CEEC-3 financial markets30 cited
  • 2011Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data28 cited
  • 2012On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries28 cited
  • 2022Economic uncertainty and structural reforms: Evidence from stock market volatility21 cited