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THE INTRADAY INTERDEPENDENCE STRUCTURE BETWEEN U.S. AND JAPANESE EQUITY MARKETS
7 references·7 citing·49 second hop
THE INTRADAY INTERDEPENDENCE STRUCTURE BETWEEN U.S. AND JAPANESE EQUITY MARKETS (1992)THE INTRADAY INTERDEPENDENCE STRUCTURE BE…Weekly Patterns in Japanese Stock Returns (1990)Weekly Patterns in Japanese S…The Intertemporal Relation Between the U. S. and Japanese Stock Markets (1990)The Intertemporal Relation Be…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…An Examination of Stock Market Return Volatility During Overnight and Intraday Periods, 1964-1989 (1990)An Examination of Stock Marke…The behavior of prices in the Nikkei spot and futures market (1989)The behavior of prices in the…A transaction data study of weekly and intradaily patterns in stock returns (1986)A transaction data study of w…Patterns in Japanese Common Stock Returns: Day of the Week and Turn of the Year Effects (1985)Patterns in Japanese Common S…On Stock Market Return Co-Movements: Macroeconomic News, Dispersion of Beliefs, and Contagion (2000)On Stock Market Return Co-Mov…Transmission of Stock Returns and Volatility between the U.S. and Japan: Evidence from the Stock Index Futures Markets (1998)Transmission of Stock Returns…Transmission of movements in stock markets (1998)Transmission of movements in …Identifying the Source of Mean and Volatility Spillovers in Irish Equities: A Multivariate GARCH Analysis* (1998)Identifying the Source of Mea…Interaction between stock markets: an analysis of the common trading hours at the London and New York stock exchange (1997)Interaction between stock mar…Volatility Spillovers Across the Tasman (1996)Volatility Spillovers Across …Market efficiency around the clock some supporting evidence using foreign-based derivatives (1995)Market efficiency around the …Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)The influence of foreign stock markets and macroeconomic news announcements on Australian financial markets (2002)International nonlinear causality between stock markets (2008)The econometrics of ultra-high frequency data /Stock returns and the weekend effect (1980)Misspecification of capital asset pricing (1981)The relationship between return and market value of common stocks (1981)The Dependence between Hourly Prices and Trading Volume (1988)Statistical properties of the volatility of price fluctuations (1999)Day of the Week Effects and Asset Returns (1981)Size-related anomalies and stock return seasonality (1983)Seasonal pattern in volatility in Asian stock markets (1994)The day-of-the-week effect in foreign exchange markets: multi-currency evidence (2004)Impact of market anomalies on stock exchange: a comparative study of KSE and PSX (2020)Cointegration and Tests of Present Value Models (1987)Mean reversion in stock prices (1988)Round-the-clock market efficiency and home bias: Evidence from the international Japanese government bonds futures markets (1999)International Diversification of Investment Portfolios (1970)International Transmission of Stock Market Movements (1989)Transmission of Volatility Between Stock Markets (1989)Pre and post-October 1987 stock market linkages between U.S. and Asian markets (1995)Cross-market linkages between U.S. and Japanese precious metals futures trading (2004)Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission (2005)Trading costs for listed options (1980)The relation between forward prices and futures prices (1981)Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices (1988)Hedging with the Nikkei index futures: The convential model versus the error correction model (1996)Intraday return dynamics between the cash and the futures markets in Japan (1996)Mispricing of index futures contracts and short sales constraints (1999)Seasonal and Day‐of‐the‐Week Effects in Four Emerging Stock Markets (1989)Econometric Models and Economic Forecasts (1990)Book-to-market, firm size, and the turn-of-the-year effect: Evidence from Pacific-Basin emerging markets (1998)Forecasting Stock Index Movement: A Comparison of Support Vector Machines and Random Forest (2006)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Transmission of Volatility between Stock Markets (1990)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Stock return variances (1986)Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close (1992)Trading and Returns under Periodic Market Closures (2000)Asset pricing and ambiguity: Empirical evidence (2018)Expected stock returns and volatility (1987)Stock Market Linkages in Emerging Asia-Pacific Markets (2013)Stock Market Linkages between the Asean Countries, China and the US: A Fractional Integration/cointegration Approach (2021)
this work references cited by second hop

References

  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
  • 1990An Examination of Stock Market Return Volatility During Overnight and Intraday Periods, 1964-1989262 cited
  • 1985Patterns in Japanese Common Stock Returns: Day of the Week and Turn of the Year Effects246 cited
  • 1990The Intertemporal Relation Between the U. S. and Japanese Stock Markets189 cited
  • 1989The behavior of prices in the Nikkei spot and futures market92 cited
  • 1990Weekly Patterns in Japanese Stock Returns87 cited

Cited by

  • 1995Market efficiency around the clock some supporting evidence using foreign-based derivatives49 cited
  • 2000On Stock Market Return Co-Movements: Macroeconomic News, Dispersion of Beliefs, and Contagion48 cited
  • 1996Volatility Spillovers Across the Tasman44 cited
  • 1998Transmission of movements in stock markets43 cited
  • 1997Interaction between stock markets: an analysis of the common trading hours at the London and New York stock exchange38 cited
  • 1998Identifying the Source of Mean and Volatility Spillovers in Irish Equities: A Multivariate GARCH Analysis*36 cited
  • 1998Transmission of Stock Returns and Volatility between the U.S. and Japan: Evidence from the Stock Index Futures Markets

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26 cited