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Local and global price memory of international stock markets
16 references·7 citing·43 second hop
Local and global price memory of international stock markets (1999)Local and global price memory of internat…Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Why Do Markets Move Together?…Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements (1996)Why Do Markets Move Together?…MODELING THE DYNAMIC INTERDEPENDENCE OF MAJOR EUROPEAN STOCK MARKETS (1996)MODELING THE DYNAMIC INTERDEP…A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada (1995)A Multivariate GARCH Model of…A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada (1995)A Multivariate GARCH Model of…Hourly volatility spillovers between international equity markets (1994)Hourly volatility spillovers …Common Volatility in International Equity Markets (1993)Common Volatility in Internat…Common Volatility in International Equity Markets (1993)Common Volatility in Internat…Where does the meteor shower come from? (1992)Where does the meteor shower …Common stochastic trends in international stock markets (1992)Common stochastic trends in i…Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination (1990)Where Does the Meteor Shower …Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Meteor Showers or Heat Waves?…International Transmission of Stock Market Movements (1989)International Transmission of…Asset Pricing in Partially Segmented Markets: Evidence from the Finnish Market (1989)Asset Pricing in Partially Se…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1988)Meteor Showers or Heat Waves?…THE INTERDEPENDENCE OF INTERNATIONAL EQUITY MARKETS (1971)THE INTERDEPENDENCE OF INTERN…Reevaluating the risk minimization utility of Islamic stocks and bonds (Sukuk) in international financial markets (2022)Reevaluating the risk minimiz…Time-shift asymmetric correlation analysis of global stock markets (2010)Time-shift asymmetric correla…The linkage between the US and Korean stock markets: the case of NASDAQ, KOSDAQ, and the semiconductor stocks (2004)The linkage between the US an…Economic interdependence and common stochastic trends: A comparative analysis between EMU and non-EMU stock markets (2004)Economic interdependence and …Does the Euro affect the dynamic interactions of stock markets in Europe? Evidence from France, Germany and Italy (2004)Does the Euro affect the dyna…The interrelatedness of global equity markets, money markets, and foreign exchange markets (2003)The interrelatedness of globa…Common long-term and short-term price memory in two Scandinavian stock markets (1998)Common long-term and short-te…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Macroeconomics and Reality (1980)Continuous Auctions and Insider Trading (1985)Chapter 49 Arch models (1994)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)The econometrics of financial markets (1996)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Price discovery and volatility spillovers in the DJIA index and futures markets (1999)Dynamic stock market integration driven by the European Monetary Union: An empirical analysis (2005)Pandemic-Related Financial Market Volatility Spillovers: Evidence from the Chinese COVID-19 Epicentre (2020)Correlations in Price Changes and Volatility across International Stock Markets (1990)Transmission of Volatility between Stock Markets (1990)Shock and volatility transmission in the oil, US and Gulf equity markets (2005)Volatility transmission between oil prices and equity sector returns (2009)Geopolitical Risk and Volatility Spillovers in Oil and Stock Markets (2019)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Country spreads and emerging countries: Who drives whom? (2005)Stock prices and exchange rate dynamics (2005)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Foreign ownership restrictions and stock prices in the Thai capital market (1994)Information asymmetry, market segmentation and the pricing of cross-listed shares: theory and evidence from Chinese A and B shares (1998)The only game in town: Stock-price consequences of local bias☆ (2008)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)A New Approach to Measuring Financial Contagion (2003)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)ARCH modeling in finance (1992)International Asset Pricing and Portfolio Diversification with Time-Varying Risk (1997)International comovement of stock market returns: A wavelet analysis (2009)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Comovement of International Equity Markets: A Taxonomic Approach (1976)The international transmission of stock market fluctuation between the developed markets and the Asian—Pacific markets (1992)Common trends and convergence? South East Asian equity markets, 1988–1999 (2002)A test for constant correlations in a multivariate GARCH model (2000)Cross‐Border Listings and Price Discovery: Evidence from U.S.‐Listed Canadian Stocks (2003)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)Asymmetric volatility transmission in international stock markets (1995)Volatilities of different time resolutions — Analyzing the dynamics of market components (1997)
this work references cited by second hop

References

  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1992Common stochastic trends in international stock markets944 cited
  • 1996Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements867 cited
  • 1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market840 cited
  • 1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market786 cited
  • 1995A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada499 cited
  • 1994Hourly volatility spillovers between international equity markets389 cited
  • 1993Common Volatility in International Equity Markets285 cited
  • 1989Asset Pricing in Partially Segmented Markets: Evidence from the Finnish Market273 cited
  • 1971THE INTERDEPENDENCE OF INTERNATIONAL EQUITY MARKETS228 cited
  • 1996Why Do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements196 cited
  • 1996MODELING THE DYNAMIC INTERDEPENDENCE OF MAJOR EUROPEAN STOCK MARKETS195 cited
  • 1995A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada173 cited
  • 1993Common Volatility in International Equity Markets

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121 cited
  • 1990Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination93 cited
  • 1992Where does the meteor shower come from?80 cited
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    • 2004Does the Euro affect the dynamic interactions of stock markets in Europe? Evidence from France, Germany and Italy28 cited
    • 2004The linkage between the US and Korean stock markets: the case of NASDAQ, KOSDAQ, and the semiconductor stocks27 cited
    • 2004Economic interdependence and common stochastic trends: A comparative analysis between EMU and non-EMU stock markets25 cited
    • 2003The interrelatedness of global equity markets, money markets, and foreign exchange markets23 cited
    • 2022Reevaluating the risk minimization utility of Islamic stocks and bonds (Sukuk) in international financial markets16 cited