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International Stock Price Movements: Links and Messages
16 references·16 citing·53 second hopsampled
International Stock Price Movements: Links and Messages (1989)International Stock Price Movements: Link…OPEN-ECONOMY MACROECONOMICS (1996)OPEN-ECONOMY MACROECONOMICSMean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence (1991)Mean Reversion in Stock Price…Stock Market Structure and Volatility (1990)Stock Market Structure and Vo…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…Stock Volatility and the Crash of '87 (1989)Stock Volatility and the Cras…Heteroskedasticity in Stock Returns (1989)Heteroskedasticity in Stock R…Anomalies: A Mean-Reverting Walk Down Wall Street (1989)Anomalies: A Mean-Reverting W…What Moves Stock Prices? (1988)What Moves Stock Prices?Was It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period (1988)Was It Real? The Exchange Rat…The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)The Dynamic Effects of Aggreg…Is the Real Interest Rate Stable? (1988)Is the Real Interest Rate Sta…Agency Costs, Net Worth, And Business Fluctuations (1988)Agency Costs, Net Worth, And …Are Output Fluctuations Transitory? (1987)Are Output Fluctuations Trans…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Macroeconomics and finance: The role of the stock market (1984)Macroeconomics and finance: T…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…The GOLD market as a safe haven against the stock market uncertainty: Evidence from geopolitical risk (2020)The GOLD market as a safe hav…Gold price and stock markets nexus under mixed-copulas (2016)Gold price and stock markets …The diversification benefits from Islamic investment during the financial turmoil: The case for the US-based equity investors (2014)The diversification benefits …Government Quality Determinants of Stock Market Performance in African Countries (2012)Government Quality Determinan…Do market capitalization and stocks traded converge? New global evidence (2011)Do market capitalization and …Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks (2009)Information, Trading Volume, …Testing constancy of correlation and other specifications of the BGARCH model with an application to international equity returns (2002)Testing constancy of correlat…Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns (2002)Correlated ARCH (CorrARCH): M…Returns synchronization and daily correlation dynamics between international stock markets (2001)Returns synchronization and d…Economic determinants of evolution in international stock market integration (1999)Economic determinants of evol…Chapter 20 Human behavior and the efficiency of the financial system (1999)Chapter 20 Human behavior and…Dynamic linkages and the propagation mechanism driving major international stock markets: An analysis of the pre- and post-crash eras (1997)Dynamic linkages and the prop…MODELING THE DYNAMIC INTERDEPENDENCE OF MAJOR EUROPEAN STOCK MARKETS (1996)MODELING THE DYNAMIC INTERDEP…The Internationalization of Equity Markets (1994)The Internationalization of E…Stock market interdependencies: Evidence from the asian NIEs (1994)Stock market interdependencie…Common Volatility in International Equity Markets (1993)Common Volatility in Internat…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! 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References

  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1988Agency Costs, Net Worth, And Business Fluctuations4,382 cited
  • 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances3,940 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1988What Moves Stock Prices?1,255 cited
  • 1989Stock Volatility and the Crash of '871,045 cited
  • 1988Was It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period825 cited
  • 1987Are Output Fluctuations Transitory?811 cited
  • 1990Stock Market Structure and Volatility544 cited
  • 1996OPEN-ECONOMY MACROECONOMICS504 cited
  • 1988Is the Real Interest Rate Stable?489 cited
  • 1989Heteroskedasticity in Stock Returns479 cited
  • 1991Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence469 cited
  • 1984Macroeconomics and finance: The role of the stock market360 cited
  • 1989Anomalies: A Mean-Reverting Walk Down Wall Street

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258 cited

Cited by

  • 2001Returns synchronization and daily correlation dynamics between international stock markets231 cited
  • 2011Do market capitalization and stocks traded converge? New global evidence228 cited
  • 1999Economic determinants of evolution in international stock market integration223 cited
  • 1999Chapter 20 Human behavior and the efficiency of the financial system212 cited
  • 2012Government Quality Determinants of Stock Market Performance in African Countries199 cited
  • 1996MODELING THE DYNAMIC INTERDEPENDENCE OF MAJOR EUROPEAN STOCK MARKETS195 cited
  • 2014The diversification benefits from Islamic investment during the financial turmoil: The case for the US-based equity investors183 cited
  • 1997Dynamic linkages and the propagation mechanism driving major international stock markets: An analysis of the pre- and post-crash eras159 cited
  • 1994Stock market interdependencies: Evidence from the asian NIEs159 cited
  • 2020The GOLD market as a safe haven against the stock market uncertainty: Evidence from geopolitical risk154 cited
  • 1994The Internationalization of Equity Markets149 cited
  • 2002Testing constancy of correlation and other specifications of the BGARCH model with an application to international equity returns144 cited
  • 1993Common Volatility in International Equity Markets121 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
  • 2016Gold price and stock markets nexus under mixed-copulas114 cited