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Regulation Change and Volatility Spillovers: Evidence from China's Stock Markets
16 references·0 citing·52 second hopsampled
Regulation Change and Volatility Spillovers: Evidence from China's Stock Markets (2010)Regulation Change and Volatility Spillove…Merton, Robert C. (2010)Merton, Robert C.Institutional Investors and the Informational Efficiency of Prices (2009)Institutional Investors and t…Do Foreigners Invest Less in Poorly Governed Firms? (2008)Do Foreigners Invest Less in …The Colors of Investors' Money: The Role of Institutional Investors Around the World (2007)The Colors of Investors' Mone…What Works in Securities Laws? (2006)What Works in Securities Laws?Firms’ histories and their capital structures☆ (2006)Firms’ histories and their ca…Volatility Spillover Effects in European Equity Markets (2005)Volatility Spillover Effects …The Limits of Financial Globalization (2005)The Limits of Financial Globa…The Influence of Analysts, Institutional Investors, and Insiders on the Incorporation of Market, Industry, and Firm-Specific Information into Stock Prices (2004)The Influence of Analysts, In…Information and the Cost of Capital (2004)Information and the Cost of C…Cross-country determinants of mergers and acquisitions (2004)Cross-country determinants of…Corporate governance and market valuation in China (2004)Corporate governance and mark…What Drives Firm‐Level Stock Returns? (2002)What Drives Firm‐Level Stock …Capital Market Liberalization, Economic Growth, and Instability (2000)Capital Market Liberalization…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)A Simple Model of Capital Mar…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Framing of Decisions and the Psychology of Choice (1981)The Limits of Arbitrage (1995)Illiquidity and stock returns: cross-section and time-series effects (2002)The Cross‐Section of Volatility and Expected Returns (2006)Corporate financing and investment decisions when firms have information that investors do not have (1984)Corporate Financing and Investment Decisions When Firms Have InformationThat Investors Do Not Have (1984)A Simple Model of Herd Behavior (1992)Financial Globalization: A Reappraisal (2006)Financial Globalization: A Reappraisal (2006)Does financial development increase energy consumption? The role of industrialization and urbanization in Tunisia (2011)The Problem of Social Cost (1960)Crime and Punishment: An Economic Approach (1968)Law and Finance (1998)Finance and Growth: Theory and Evidence (2004)Law, finance, and economic growth in China (2005)Understanding earnings quality: A review of the proxies, their determinants and their consequences (2010)Industry costs of equity (1997)The Influence of Institutional Investors on Myopic R&D Investment Behavior (1998)The information content of stock markets: why do emerging markets have synchronous stock price movements? (2000)Stock price synchronicity and analyst coverage in emerging markets (2005)Does board gender diversity improve the informativeness of stock prices? (2011)Stock price synchronicity, crash risk, and institutional investors (2013)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)Corporate Governance and Equity Prices (2003)How does financial reporting quality relate to investment efficiency? (2009)Do institutional investors drive corporate social responsibility? International evidence (2018)The Importance of Climate Risks for Institutional Investors (2019)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Industry Concentration and Average Stock Returns (2003)Market Reactions to Tangible and Intangible Information (2006)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)A Survey of Corporate Governance (1997)Taking Stock of What We Know About Mergers and Acquisitions: A Review and Research Agenda (2009)Corporate governance in emerging markets: A survey (2012)Lost in translation? The effect of cultural values on mergers around the world (2012)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Bank ownership and efficiency in China: What will happen in the world’s largest nation? (2007)Why Doesn't Capital Flow from Rich to Poor Countries? An Empirical Investigation (2008)Continuous Auctions and Insider Trading (1985)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Information Uncertainty and Stock Returns (2006)Liquidity and Asset Prices (2006)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)
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References

  • 1987A Simple Model of Capital Market Equilibrium with Incomplete Information5,808 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 2004Information and the Cost of Capital3,057 cited
  • 2006What Works in Securities Laws?2,787 cited
  • 2007The Colors of Investors' Money: The Role of Institutional Investors Around the World2,025 cited
  • 2000Capital Market Liberalization, Economic Growth, and Instability1,416 cited
  • 2004The Influence of Analysts, Institutional Investors, and Insiders on the Incorporation of Market, Industry, and Firm-Specific Information into Stock Prices1,250 cited
  • 2004Cross-country determinants of mergers and acquisitions1,146 cited
  • 2005The Limits of Financial Globalization1,039 cited
  • 2002What Drives Firm‐Level Stock Returns?1,003 cited
  • 2010Merton, Robert C.812 cited
  • 2006Firms’ histories and their capital structures☆795 cited
  • 2009Institutional Investors and the Informational Efficiency of Prices763 cited
  • 2004Corporate governance and market valuation in China753 cited
  • 2008Do Foreigners Invest Less in Poorly Governed Firms?678 cited

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Volatility Spillover Effects in European Equity Markets
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