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Measuring International Economic Linkages with Stock Market Data
16 references·16 citing·40 second hopsampled
Measuring International Economic Linkages with Stock Market Data (1996)Measuring International Economic Linkages…Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Why Do Markets Move Together?…Volatility and Links between National Stock Markets (1994)Volatility and Links between …Does industrial structure explain the benefits of international diversification? (1994)Does industrial structure exp…What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns (1993)What Moves the Stock and Bond…Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration (1992)Predictable Stock Returns in …The Variation of Economic Risk Premiums (1991)The Variation of Economic Ris…Volatiltiy and Links Between National Stock Markets (1990)Volatiltiy and Links Between …Purchasing Power Parity in the Long Run (1990)Purchasing Power Parity in th…A VARIANCE DECOMPOSITION FOR STOCK RETURNS (1990)A VARIANCE DECOMPOSITION FOR …Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Risk and return in an equilibrium APT (1988)Risk and return in an equilib…Dividend yields and expected stock returns (1988)Dividend yields and expected …The New Palgrave: A Dictionary of Economics (1987)The New Palgrave: A Dictionar…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…Global Financial Cycles and Risk Premiums (2019)Global Financial Cycles and R…Global Financial Cycles and Risk Premiums (2018)Global Financial Cycles and R…The Co‐movement Dynamics of European Frontier Stock Markets (2012)The Co‐movement Dynamics of E…A simple indicator of systemic risk (2012)A simple indicator of systemi…Pitfalls in VAR based return decompositions: A clarification (2011)Pitfalls in VAR based return …Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks (2009)Information, Trading Volume, …Explaining international stock correlations with CPI fluctuations and market volatility (2009)Explaining international stoc…The Role of Portfolio Constraints in the International Propagation of Shocks (2008)The Role of Portfolio Constra…The response of global equity indexes to U.S. monetary policy announcements (2008)The response of global equity…Stock market cycles, financial liberalization and volatility (2003)Stock market cycles, financia…Are correlations of stock returns justified by subsequent changes in national outputs? (2003)Are correlations of stock ret…Measuring financial and economic integration with equity prices in emerging markets (2002)Measuring financial and econo…Market efficiency, asset returns, and the size of the risk premium in global equity markets (2002)Market efficiency, asset retu…Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns (2002)Correlated ARCH (CorrARCH): M…Explaining Stock Market Correlation: \nA Gravity Model Approach (2001)Explaining Stock Market Corre…Country and industry factors in returns: evidence from emerging markets’ stocks (2000)Country and industry factors …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)An analysis of intertemporal and cross-sectional determinants of earnings response coefficients (1989)Expected Stock Returns and Variance Risk Premia (2009)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Asymmetric correlations of equity portfolios (2002)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Common risk factors in the returns on stocks and bonds (1993)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)A five-factor asset pricing model (2014)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)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)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Household Risk Management and Optimal Mortgage Choice (2003)An Empirical Analysis of Stock and Bond Market Liquidity (2004)Stock Market Uncertainty and the Stock-Bond Return Relation (2005)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Presidential Address: Discount Rates (2011)Investor Psychology and Asset Pricing (2001)Job Satisfaction in Britain (1996)Regulation Inside Government (1999)Beyond the Glass Ceiling: Does Gender Matter? (2011)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 1990A VARIANCE DECOMPOSITION FOR STOCK RETURNS1,822 cited
  • 1991The Variation of Economic Risk Premiums1,740 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 1987The New Palgrave: A Dictionary of Economics1,081 cited
  • 1993What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns892 cited
  • 1996Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements867 cited
  • 1990Purchasing Power Parity in the Long Run808 cited
  • 1994Does industrial structure explain the benefits of international diversification?746 cited
  • 1990Volatiltiy and Links Between National Stock Markets709 cited
  • 1994Volatility and Links between National Stock Markets679 cited
  • 1988Risk and return in an equilibrium APT535 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 1992Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration512 cited
  • Cited by

    • 2008The Role of Portfolio Constraints in the International Propagation of Shocks201 cited
    • 2002Measuring financial and economic integration with equity prices in emerging markets196 cited
    • 2003Stock market cycles, financial liberalization and volatility175 cited
    • 2003Are correlations of stock returns justified by subsequent changes in national outputs?174 cited
    • 2008The response of global equity indexes to U.S. monetary policy announcements162 cited
    • 2012A simple indicator of systemic risk161 cited
    • 2011Pitfalls in VAR based return decompositions: A clarification137 cited
    • 2009Explaining international stock correlations with CPI fluctuations and market volatility119 cited
    • 2000Country and industry factors in returns: evidence from emerging markets’ stocks119 cited
    • 2009Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks119 cited
    • 2002Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns115 cited
    • 2012The Co‐movement Dynamics of European Frontier Stock Markets113 cited
    • 2018Global Financial Cycles and Risk Premiums112 cited
    • 2001Explaining Stock Market Correlation: \nA Gravity Model Approach112 cited
    • 2002Market efficiency, asset returns, and the size of the risk premium in global equity markets102 cited
    • 2019Global Financial Cycles and Risk Premiums96 cited