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International stock price spillovers and market liberalization: Evidence from Korea, Japan, and the United States
16 references·16 citing·28 second hopsampled
International stock price spillovers and market liberalization: Evidence from Korea, Japan, and the United States (1995)International stock price spillovers and …The Risk and Predictability of International Equity Returns (1993)The Risk and Predictability o…ARCH modeling in finance (1992)ARCH modeling in financeTransmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Meteor Showers or Heat Waves?…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…International Transmission of Stock Market Movements (1989)International Transmission of…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1988)Meteor Showers or Heat Waves?…Expected stock returns and volatility (1987)Expected stock returns and vo…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Stock returns and the weekend effect (1980)Stock returns and the weekend…Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…Spillovers and the determinants in Islamic equity markets (2019)Spillovers and the determinan…Extreme spillovers of VIX fear index to international equity markets (2019)Extreme spillovers of VIX fea…Impacts of China's crash on Asia-Pacific financial integration: Volatility interdependence, information transmission and market co-movement (2018)Impacts of China's crash on A…Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach (2018)Causal effects of the United …Can we use volatility to diagnose financial bubbles? lessons from 40 historical bubbles (2018)Can we use volatility to diag…Corporate Vulnerability Index as a Fear Gauge?Exploring the Contagion Effect between U.S. and Korean Markets (2015)Corporate Vulnerability Index…Volatility returns with vengeance: Financial markets vs. commodities (2014)Volatility returns with venge…Internal and external spillover effects for the BRIC countries: Multivariate GARCH-in-mean approach (2013)Internal and external spillov…FINANCIAL CRISES AND INTERNATIONAL STOCK MARKET VOLATILITY TRANSMISSION (2010)FINANCIAL CRISES AND INTERNAT…Regime-switching volatility of six East Asian emerging markets (2007)Regime-switching volatility o…Volatility Transmission Models: A Survey (2005)Volatility Transmission Model…INTERRELATIONSHIPS AMONG INTERNATIONAL STOCK MARKET INDICES: EUROPE, ASIA AND THE AMERICAS (2005)INTERRELATIONSHIPS AMONG INTE…Stock Return Volatility and Market Crisis In Emerging Economies (2004)Stock Return Volatility and M…The Impact of Financial Liberalization on Stock Price Volatility in Emerging Markets (2000)The Impact of Financial Liber…Stock Returns and Volatility: an empirical study of Chinese stock markets (1998)Stock Returns and Volatility:…A Fundamental Analysis of Korean Stock Returns (1997)A Fundamental Analysis of Kor…The Pricing of Options and Corporate Liabilities (1973)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Specification Tests in Econometrics (1978)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Illiquidity and stock returns: cross-section and time-series effects (2002)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Efficient Market Hypothesis and Its Critics (2003)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)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)The Cross‐Section of Volatility and Expected Returns (2006)Econometric Analysis of Cross Section and Panel Data (2001)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1980Stock returns and the weekend effect1,997 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1989Why Does Stock Market Volatility Change Over Time?1,209 cited
  • 1993The Risk and Predictability of International Equity Returns1,065 cited
  • 1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market840 cited

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1988
Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market
786 cited

Cited by

  • 2018Impacts of China's crash on Asia-Pacific financial integration: Volatility interdependence, information transmission and market co-movement83 cited
  • 2000The Impact of Financial Liberalization on Stock Price Volatility in Emerging Markets82 cited
  • 1997A Fundamental Analysis of Korean Stock Returns79 cited
  • 2018Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach66 cited
  • 2007Regime-switching volatility of six East Asian emerging markets63 cited
  • 2019Spillovers and the determinants in Islamic equity markets56 cited
  • 2018Can we use volatility to diagnose financial bubbles? lessons from 40 historical bubbles53 cited
  • 2019Extreme spillovers of VIX fear index to international equity markets52 cited
  • 2013Internal and external spillover effects for the BRIC countries: Multivariate GARCH-in-mean approach51 cited
  • 2010FINANCIAL CRISES AND INTERNATIONAL STOCK MARKET VOLATILITY TRANSMISSION49 cited
  • 2014Volatility returns with vengeance: Financial markets vs. commodities47 cited
  • 2005Volatility Transmission Models: A Survey46 cited
  • 2015Corporate Vulnerability Index as a Fear Gauge?Exploring the Contagion Effect between U.S. and Korean Markets45 cited
  • 1998Stock Returns and Volatility: an empirical study of Chinese stock markets43 cited
  • 2004Stock Return Volatility and Market Crisis In Emerging Economies37 cited
  • 2005INTERRELATIONSHIPS AMONG INTERNATIONAL STOCK MARKET INDICES: EUROPE, ASIA AND THE AMERICAS34 cited