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Stock market liberalization and volatility in the presence of favorable market characteristics and institutions
16 references·14 citing·27 second hopsampled
Stock market liberalization and volatility in the presence of favorable market characteristics and institutions (2005)Stock market liberalization and volatilit…Does financial liberalization spur growth? (2005)Does financial liberalization…Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices (2000)Stock Market Liberalization, …Foreign Speculators and Emerging Equity Markets (2000)Foreign Speculators and Emerg…Do stock market liberalizations cause investment booms? (2000)Do stock market liberalizatio…Capital Account Liberalization, Financial Depth and Economic Growth (1999)Capital Account Liberalizatio…Emerging equity market volatility (1997)Emerging equity market volati…Market Integration and Investment Barriers in Emerging Equity Markets (1995)Market Integration and Invest…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Alternative models for conditional stock volatility (1990)Alternative models for condit…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…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…How do Islamic versus conventional equity markets react to political risk? Dynamic panel evidence (2018)How do Islamic versus convent…Does shareholder-oriented corporate governance reduce firm risk? Evidence from listed European companies (2018)Does shareholder-oriented cor…The impact of institutional volatility on financial volatility in transition economies (2017)The impact of institutional v…Understanding emerging market equity risk premia: Industries, governance and macroeconomic policy uncertainty (2013)Understanding emerging market…Financial liberalization and stock markets efficiency: New evidence from emerging economies (2013)Financial liberalization and …The roles of news and volatility in stock market correlations during the global financial crisis (2011)The roles of news and volatil…Stock market correlations between China and its emerging market neighbors (2011)Stock market correlations bet…Financial Development, Economic Growth and Stock Market Volatility: Evidence from Nigeria and South Africa (2010)Financial Development, Econom…Emerging market benefits, investability and the rule of law (2010)Emerging market benefits, inv…The tail risk of emerging stock markets (2009)The tail risk of emerging sto…The comovements in international stock markets: new evidence from Latin American emerging countries (2009)The comovements in internatio…Stock Market Volatility (2009)Stock Market VolatilityStock market liberalization, structural breaks and dynamic changes in emerging market volatility (2008)Stock market liberalization, …Power arch modelling of the volatility of emerging equity markets (2007)Power arch modelling of the v…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)On the mechanics of economic development (1988)Legal Determinants of External Finance (1997)Law and Finance (1998)Financial Globalization: A Reappraisal (2006)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Dilemma not Trilemma: The Global Financial Cycle and Monetary Policy Independence (2015)On the Impossibility of Informationally Efficient Markets (1980)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Multivariate GARCH models: a surveyAsymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Cross‐Section of Volatility and Expected Returns (2006)Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric correlations of equity portfolios (2002)Individualism and Momentum around the World (2010)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 2005Does financial liberalization spur growth?2,011 cited
  • 2000Foreign Speculators and Emerging Equity Markets1,868 cited
  • 1997Emerging equity market volatility1,703 cited
  • 2000Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices1,385 cited
  • 1990Alternative models for conditional stock volatility1,272 cited
  • 1989Why Does Stock Market Volatility Change Over Time?1,209 cited
  • 2000Do stock market liberalizations cause investment booms?864 cited
  • 1999Capital Account Liberalization, Financial Depth and Economic Growth710 cited
  • 1995

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Market Integration and Investment Barriers in Emerging Equity Markets
600 cited

Cited by

  • 2013Understanding emerging market equity risk premia: Industries, governance and macroeconomic policy uncertainty76 cited
  • 2011Stock market correlations between China and its emerging market neighbors66 cited
  • 2013Financial liberalization and stock markets efficiency: New evidence from emerging economies63 cited
  • 2007Power arch modelling of the volatility of emerging equity markets63 cited
  • 2009The comovements in international stock markets: new evidence from Latin American emerging countries60 cited
  • 2011The roles of news and volatility in stock market correlations during the global financial crisis58 cited
  • 2017The impact of institutional volatility on financial volatility in transition economies51 cited
  • 2009Stock Market Volatility50 cited
  • 2010Emerging market benefits, investability and the rule of law40 cited
  • 2018How do Islamic versus conventional equity markets react to political risk? Dynamic panel evidence35 cited
  • 2009The tail risk of emerging stock markets29 cited
  • 2018Does shareholder-oriented corporate governance reduce firm risk? Evidence from listed European companies28 cited
  • 2008Stock market liberalization, structural breaks and dynamic changes in emerging market volatility28 cited
  • 2010Financial Development, Economic Growth and Stock Market Volatility: Evidence from Nigeria and South Africa21 cited