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Has there been any change in the comovement between the Chinese and US stock markets?
16 references·9 citing·39 second hop
Has there been any change in the comovement between the Chinese and US stock markets? (2013)Has there been any change in the comoveme…Stock market integration and financial crises: the case of Asia (2003)Stock market integration and …Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Dynamic relationship between stock prices and exchange rates for G-7 countries (2001)Dynamic relationship between …Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series (1999)Measuring Business Cycles: Ap…Residual-based tests for cointegration in models with regime shifts (1996)Residual-based tests for coin…PRACTITIONERS CORNER: Tests for Cointegration in Models with Regime and Trend Shifts (1996)PRACTITIONERS CORNER: Tests f…DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND (1992)DETERMINATION OF COINTEGRATIO…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Information and Volatility: T…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…A model of international asset pricing (1981)A model of international asse…An equilibrium model of the international capital market (1974)An equilibrium model of the i…Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)Internationally Diversified P…Forecasting macroeconomic effects of stablecoin adoption: A Bayesian approach (2022)Forecasting macroeconomic eff…Modeling dynamic conditional correlations with leverage effects and volatility spillover effects: Evidence from the Chinese and US stock markets affected by the recent trade friction (2021)Modeling dynamic conditional …An assessment of contagion risks in the banking system using non-parametric and Copula approaches (2019)An assessment of contagion ri…Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis (2018)Quantile dependence between d…Diversification opportunities between emerging and frontier Asian (EFA) and developed stock markets (2017)Diversification opportunities…Time-Varying Herding Behavior, Global Financial Crisis, and the Chinese Stock Market (2015)Time-Varying Herding Behavior…Price cointegration between sovereign CDS and currency option markets in the financial crises of 2007–2013 (2015)Price cointegration between s…Gold, Oil, and Stocks: Dynamic Correlations (2015)Gold, Oil, and Stocks: Dynami…Financial liberalisation and international market interdependence: Evidence from China’s stock market in the post-WTO accession period (2014)Financial liberalisation and …Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Further evidence on breaking trend functions in macroeconomic variables (1997)The saving and investment nexus for China: evidence from cointegration tests (2005)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A Note on Uncertainty and Indifference Curves (1969)Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)Size, value, and momentum in international stock returns (2012)… and the Cross-Section of Expected Returns (2015)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)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Transactions, Volume, and Volatility (1994)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Theory of rational option pricing (2005)Stock return variances (1986)Mean reversion in stock prices (1988)Emerging equity market volatility (1997)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)The Band Pass Filter (1999)An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output (2002)On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations (2002)Competition and Financial Stability (2004)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1999Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series2,829 cited
  • 1996Residual-based tests for cointegration in models with regime shifts2,521 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
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  • 1974An equilibrium model of the international capital market1,130 cited
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  • 1996PRACTITIONERS CORNER: Tests for Cointegration in Models with Regime and Trend Shifts600 cited
  • 2001Dynamic relationship between stock prices and exchange rates for G-7 countries

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472 cited
  • 2003Stock market integration and financial crises: the case of Asia307 cited
  • Cited by

    • 2015Gold, Oil, and Stocks: Dynamic Correlations139 cited
    • 2018Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis38 cited
    • 2019An assessment of contagion risks in the banking system using non-parametric and Copula approaches38 cited
    • 2014Financial liberalisation and international market interdependence: Evidence from China’s stock market in the post-WTO accession period38 cited
    • 2015Time-Varying Herding Behavior, Global Financial Crisis, and the Chinese Stock Market36 cited
    • 2015Price cointegration between sovereign CDS and currency option markets in the financial crises of 2007–201334 cited
    • 2022Forecasting macroeconomic effects of stablecoin adoption: A Bayesian approach32 cited
    • 2021Modeling dynamic conditional correlations with leverage effects and volatility spillover effects: Evidence from the Chinese and US stock markets affected by the recent trade friction31 cited
    • 2017Diversification opportunities between emerging and frontier Asian (EFA) and developed stock markets30 cited