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Measuring stock market contagion: Local or common currency returns?
16 references·8 citing·38 second hop
Measuring stock market contagion: Local or common currency returns? (2014)Measuring stock market contagion: Local o…The Global Crisis and Equity Market Contagion (2014)The Global Crisis and Equity …Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Global financial crisis, extr…Contagion as a domino effect in global stock markets (2009)Contagion as a domino effect …Evidence of interdependence and contagion using a frequency domain framework (2008)Evidence of interdependence a…Measuring financial contagion: A Copula approach (2007)Measuring financial contagion…Testing for contagion: a conditional correlation analysis (2005)Testing for contagion: a cond…Market Integration and Contagion (2005)Market Integration and Contag…Empirical modelling of contagion: a review of methodologies (2005)Empirical modelling of contag…‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion (2005)‘Some contagion, some interde…A Primer on Financial Contagion (2003)A Primer on Financial Contagi…A New Approach to Measuring Financial Contagion (2003)A New Approach to Measuring F…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…A New Approach to Measuring Financial Contagion (2000)A New Approach to Measuring F…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…International Diversification of Investment Portfolios (1970)International Diversification…Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)Internationally Diversified P…The directional spillover effects and time-frequency nexus between stock markets, cryptocurrency, and investor sentiment during the COVID-19 pandemic (2023)The directional spillover eff…Spatial financial contagion during the COVID-19 outbreak: Local correlation approach (2021)Spatial financial contagion d…Are Islamic stocks immune from financial crises? Evidence from contagion tests (2020)Are Islamic stocks immune fro…THE ANALYSIS OF CAPITAL MARKET INTEGRATION IN ASEAN REGION BY USING THE OGARCH APPROACH (2017)THE ANALYSIS OF CAPITAL MARKE…Stock market contagion in Central and Eastern Europe: unexpected volatility and extreme co-exceedance (2017)Stock market contagion in Cen…Financial contagion: review of empirical literature (2017)Financial contagion: review o…International contagion through financial versus non-financial firms (2016)International contagion throu…Evidence of contagion in global REITs investment (2014)Evidence of contagion in glob…Liquidity Preference as Behavior Towards Risk (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)Why Not Diversify Internationally Rather Than Domestically? (1974)What Determines the Domestic Bias and Foreign Bias? Evidence from Mutual Fund Equity Allocations Worldwide (2005)International comovement of stock market returns: A wavelet analysis (2009)Portfolio Selection: Efficient Diversification of Investments (1959)Does industrial structure explain the benefits of international diversification? 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Implications for risk management (2013)Market Liquidity and Funding Liquidity (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the International Spillovers of US Quantitative Easing (2016)Flights to Safety (2019)Banking sector performance during the COVID-19 crisis (2021)Limited-dependent and qualitative variables in econometrics (1983)Extreme Correlation of International Equity Markets (2001)On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation (2004)The subprime credit crisis and contagion in financial markets (2010)Capital flows, push versus pull factors and the global financial crisis (2012)Financial Contagion (2000)Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Emerging markets finance (2003)International Stock Return Comovements (2005)
this work references cited by second hop

References

  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 1970International Diversification of Investment Portfolios1,130 cited
  • 2005Market Integration and Contagion1,061 cited
  • 1968Internationally Diversified Portfolios: Welfare Gains and Capital Flows1,025 cited
  • 2003A New Approach to Measuring Financial Contagion1,015 cited
  • 2007Measuring financial contagion: A Copula approach826 cited
  • 2005‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion791 cited
  • 2000A New Approach to Measuring Financial Contagion723 cited
  • 2014The Global Crisis and Equity Market Contagion708 cited
  • 2003A Primer on Financial Contagion696 cited
  • 2010Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?559 cited
  • 2005Empirical modelling of contagion: a review of methodologies549 cited
  • 2005Testing for contagion: a conditional correlation analysis251 cited
  • 2009Contagion as a domino effect in global stock markets204 cited

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  • 2008Evidence of interdependence and contagion using a frequency domain framework174 cited
  • Cited by

    • 2016International contagion through financial versus non-financial firms40 cited
    • 2017Stock market contagion in Central and Eastern Europe: unexpected volatility and extreme co-exceedance38 cited
    • 2017Financial contagion: review of empirical literature37 cited
    • 2020Are Islamic stocks immune from financial crises? Evidence from contagion tests31 cited
    • 2014Evidence of contagion in global REITs investment30 cited
    • 2021Spatial financial contagion during the COVID-19 outbreak: Local correlation approach29 cited
    • 2017THE ANALYSIS OF CAPITAL MARKET INTEGRATION IN ASEAN REGION BY USING THE OGARCH APPROACH27 cited
    • 2023The directional spillover effects and time-frequency nexus between stock markets, cryptocurrency, and investor sentiment during the COVID-19 pandemic27 cited