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International portfolio diversification: A study of linkages among the U.S., European and Japanese equity markets
16 references·4 citing·42 second hop
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this work references cited by second hop

References

  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 1987International Economics: Theory and Policy1,309 cited
  • 1987International Economics: Theory and Policy1,275 cited
  • 1999No Contagion, Only Interdependence: Measuring Stock Market Co-movements968 cited
  • 1996Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements867 cited
  • 1993International stock market linkages: Evidence from the pre- and post-October 1987 period561 cited
  • 1996International Market Correlation and Volatility468 cited
  • 1970An Asymptotic χ2Test for the Equality of Two Correlation Matrices254 cited
  • 1996Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements196 cited
  • 1997Co-Movements of European Equity Markets Before and After the 1987 Crash125 cited
  • 1994Global Business Today120 cited
  • 1995Political Risk and the Benefits of International Portfolio Diversification107 cited
  • 1999Economic determinants of the correlation structure across international equity markets95 cited
  • 2000Stochastic correlation across international stock markets

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84 cited
  • 2004International Financial Management56 cited
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    • 2020Stock returns prediction using kernel adaptive filtering within a stock market interdependence approach35 cited
    • 2018Time-varying evidence of efficiency, decoupling, and diversification of conventional and Islamic stocks33 cited
    • 2020Foreign direct investment and financial markets influences: Results from the United States31 cited
    • 2007Globalisation and the Macroeconomic Policy Environment29 cited