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Chinese and world equity markets: A review of the volatilities and correlations in the first fifteen years
16 references·15 citing·35 second hop
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this work references cited by second hop

References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 1992No news is good news1,929 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
  • 2003China share issue privatization: the extent of its success961 cited
  • 1963The Investment, Financing, and Valuation of the Corporation958 cited
  • 1997International Asset Pricing and Portfolio Diversification with Time-Varying Risk812 cited
  • 2004Systemic Risk and International Portfolio Choice405 cited
  • 2008Information Asymmetry and Asset Prices: Evidence from the Foreign Share Discount

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

385 cited
  • 2002Puzzles in the Chinese Stock Market240 cited
  • Cited by

    • 2018Is U.S. economic policy uncertainty priced in China's A-shares market? Evidence from market, industry, and individual stocks86 cited
    • 2012The impact of China's stock market reforms on its international stock market linkages40 cited
    • 2016Spillover effect in Asian financial markets: A VAR-structural GARCH analysis38 cited
    • 2014Financial liberalisation and international market interdependence: Evidence from China’s stock market in the post-WTO accession period38 cited
    • 2011Volatility Spillovers between Chinese and World Equity Markets38 cited
    • 2018Volatility spillover from the Chinese stock market to E7 and G7 stock markets37 cited
    • 2010China's financial market integration with the world34 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
    • 2010Effects of the open policy on the dependence between the Chinese ‘A’ stock market and other equity markets: An industry sector perspective26 cited
    • 2014The interactions between China and US stock markets: New perspectives23 cited
    • 2012Common influences, spillover and integration in Chinese stock markets22 cited
    • 2010The paradox of China's international stock market co‐movement22 cited
    • 2020Do the Shanghai–Hong Kong & Shenzhen–Hong Kong Stock Connect programs enhance co‐movement between the Mainland Chinese, Hong Kong, and U.S. stock markets?21 cited
    • 2013Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market20 cited
    • 2013Integration versus segmentation in China's stock market: An analysis of time-varying beta risks19 cited