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Foreign investment, regulation and price volatility in South-east Asian stock markets
15 references·0 citing·32 second hop
Foreign investment, regulation and price volatility in South-east Asian stock markets (2001)Foreign investment, regulation and price …Using chaos measures to examine international capital market integration (1996)Using chaos measures to exami…Stock market interdependencies: Evidence from the asian NIEs (1994)Stock market interdependencie…Entry barriers and price movements between major and emerging stock markets (1994)Entry barriers and price move…Alternative Models for the Conditional Heteroscedasticity of Stock Returns (1994)Alternative Models for the Co…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…STOCK MARKET SEASONALITY: SOME EVIDENCE FROM THE PACIFIC‐BASIN COUNTRIES (1992)STOCK MARKET SEASONALITY: SOM…Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data (1992)Feedback Traders and Stock Re…Pacific-basin capital markets research (1990)Pacific-basin capital markets…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Noise (1986)NoiseGeneralized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Stock Prices and Social Dynamics (1984)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Oil price dynamics and speculation (2009)Empirical investigation of herding behavior in Chinese stock markets: Evidence from quantile regression analysis (2010)The economic value of co-movement between oil price and exchange rate using copula-based GARCH models (2011)The Behavior of Stock-Market Prices (1965)Transmission of Volatility between Stock Markets (1990)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Asymmetric volatility transmission in international stock markets (1995)Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)What good is a volatility model? (2001)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)Bulls, bears and market sheep (1990)Anomalies or illusions? Evidence from stock markets in eighteen countries (1994)Synchronization risk and delayed arbitrage (2002)Gaussian Estimation of Single-Factor Continuous Time Models of The Term Structure of Interest Rates (1997)Book-to-market, firm size, and the turn-of-the-year effect: Evidence from Pacific-Basin emerging markets (1998)The effect of alliance experience and intellectual capital on the value creation of international strategic alliances (2006)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1993Measuring and Testing the Impact of News on Volatility755 cited
  • 1986Noise600 cited
  • 1992Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data384 cited
  • 1990Pacific-basin capital markets research232 cited
  • 1994Alternative Models for the Conditional Heteroscedasticity of Stock Returns194 cited
  • 1994Stock market interdependencies: Evidence from the asian NIEs159 cited
  • 1992STOCK MARKET SEASONALITY: SOME EVIDENCE FROM THE PACIFIC‐BASIN COUNTRIES47 cited
  • 1994Entry barriers and price movements between major and emerging stock markets36 cited
  • 1996Using chaos measures to examine international capital market integration

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