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Changes in the international comovement of stock returns and asymmetric macroeconomic shocks
16 references·14 citing·55 second hop
Changes in the international comovement of stock returns and asymmetric macroeconomic shocks (2008)Changes in the international comovement o…The determinants of cross-border equity flows (2004)The determinants of cross-bor…Comovement (2004)ComovementA Decomposition of Global Linkages in Financial Markets Over Time (2004)A Decomposition of Global Lin…Financial market integration in Europe: on the effects of EMU on stock markets (2002)Financial market integration …The Increasing Importance of Industry Factors (2000)The Increasing Importance of …State-Space Models with Regime-Switching: Classical and Gibbs Sampling Approaches with Applications (2000)State-Space Models with Regim…An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy (1997)An Optimization-Based Econome…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Time-Varying World Market Integration (1995)Time-Varying World Market Int…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Sources of Real Exchange Rate Fluctuations: How Important are Nominal Shocks? (1994)Sources of Real Exchange Rate…Forecasting International Equity Correlations (1994)Forecasting International Equ…Does industrial structure explain the benefits of international diversification? (1994)Does industrial structure exp…The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)The Dynamic Effects of Aggreg…The dynamic effects of aggregate demand and supply disturbance (1988)The dynamic effects of aggreg…Macroeconomics and Reality (1980)Macroeconomics and RealitySentiment and stock market connectedness: Evidence from the U.S. – China trade war (2022)Sentiment and stock market co…The effect of global crises on stock market correlations: Evidence from scalar regressions via functional data analysis (2019)The effect of global crises o…Real exchange rate and asymmetric shocks in the West African Monetary Zone (WAMZ) (2018)Real exchange rate and asymme…Integration of Financial Markets in Post Global Financial Crises and Implications for British Financial Sector: Analysis Based on A Panel VAR Model (2017)Integration of Financial Mark…How are Africa's emerging stock markets related to advanced markets? Evidence from copulas (2016)How are Africa's emerging sto…Nominal Stability and Financial Globalization (2014)Nominal Stability and Financi…Causality between regional stock markets: A frequency domain approach (2013)Causality between regional st…The time-varying response of foreign stock markets to U.S. monetary policy surprises: Evidence from the Federal funds futures market (2012)The time-varying response of …The dynamics of return comovement and spillovers between the Czech and European stock markets in the period 1997-2010 (2012)The dynamics of return comove…Interdependence between the Slovenian and European Stock Markets – A DCC-Garch Analysis (2012)Interdependence between the S…Enter the dragon: Interactions between Chinese, US and Asia-Pacific equity markets, 1995–2010 (2012)Enter the dragon: Interaction…The Sri Lankan stock market and the macroeconomy: an empirical investigation (2011)The Sri Lankan stock market a…Information transmission across currency futures markets: Evidence from frequency domain tests (2011)Information transmission acro…Co-movement of the Finnish and international stock markets: a wavelet analysis (2011)Co-movement of the Finnish an…Aggregate Dynamics and Staggered Contracts (1980)Trends and random walks in macroeconomic time series (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Impulse response analysis in nonlinear multivariate models (1996)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)What are the effects of monetary policy on output? 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this work references cited by second hop

References

  • 1980Macroeconomics and Reality12,826 cited
  • 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances3,940 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1997An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy2,077 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 2004The determinants of cross-border equity flows1,722 cited
  • 2000State-Space Models with Regime-Switching: Classical and Gibbs Sampling Approaches with Applications1,153 cited
  • 2004Comovement929 cited
  • 1994Does industrial structure explain the benefits of international diversification?746 cited
  • 1994Sources of Real Exchange Rate Fluctuations: How Important are Nominal Shocks?622 cited
  • 1995Time-Varying World Market Integration594 cited
  • 1994Forecasting International Equity Correlations521 cited
  • 1988The dynamic effects of aggregate demand and supply disturbance468 cited
  • 2000The Increasing Importance of Industry Factors457 cited
  • 2004A Decomposition of Global Linkages in Financial Markets Over Time413 cited

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2002
Financial market integration in Europe: on the effects of EMU on stock markets
379 cited

Cited by

  • 2011Co-movement of the Finnish and international stock markets: a wavelet analysis80 cited
  • 2019The effect of global crises on stock market correlations: Evidence from scalar regressions via functional data analysis74 cited
  • 2022Sentiment and stock market connectedness: Evidence from the U.S. – China trade war70 cited
  • 2016How are Africa's emerging stock markets related to advanced markets? Evidence from copulas70 cited
  • 2012Enter the dragon: Interactions between Chinese, US and Asia-Pacific equity markets, 1995–201068 cited
  • 2012The time-varying response of foreign stock markets to U.S. monetary policy surprises: Evidence from the Federal funds futures market45 cited
  • 2011The Sri Lankan stock market and the macroeconomy: an empirical investigation39 cited
  • 2013Causality between regional stock markets: A frequency domain approach31 cited
  • 2017Integration of Financial Markets in Post Global Financial Crises and Implications for British Financial Sector: Analysis Based on A Panel VAR Model31 cited
  • 2012Interdependence between the Slovenian and European Stock Markets – A DCC-Garch Analysis27 cited
  • 2011Information transmission across currency futures markets: Evidence from frequency domain tests26 cited
  • 2012The dynamics of return comovement and spillovers between the Czech and European stock markets in the period 1997-201025 cited
  • 2018Real exchange rate and asymmetric shocks in the West African Monetary Zone (WAMZ)20 cited
  • 2014Nominal Stability and Financial Globalization14 cited