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Information transmission between the Gulf equity markets of Saudi Arabia and Bahrain
13 references·4 citing·39 second hop
Information transmission between the Gulf equity markets of Saudi Arabia and Bahrain (2005)Information transmission between the Gulf…Asymmetric volatility spillover in the Tokyo stock exchange (2001)Asymmetric volatility spillov…International transmission of stock price movements: Evidence from the U.S. and five Asian-Pacific markets (1998)International transmission of…Price and volatility spillovers in Scandinavian stock markets (1997)Price and volatility spillove…Mean and Volatility Spillover Effects in the U.S. and Pacific–Basin Stock Markets (1997)Mean and Volatility Spillover…Delayed Reaction to Good News and the Cross-Autocorrelation of Portfolio Returns (1996)Delayed Reaction to Good News…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…Testing for Common Trends (1988)Testing for Common TrendsTesting for Common Trends (1988)Testing for Common TrendsCo-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Inter- and intra-regional stock market relations for the GCC bloc (2020)Inter- and intra-regional sto…Shocks and Volatility Spillover Between Stock Markets of Developed Countries and GCC Stock Markets (2018)Shocks and Volatility Spillov…Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate (2014)Structural breaks, dynamic co…Return and volatility spillovers between Dubai financial market and Abu Dhabi Stock Exchange in the UAE (2012)Return and volatility spillov…Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Business conditions and expected returns on stocks and bonds (1989)The Cross-Section of Expected Stock Returns (1992)Herding behaviour in the Chinese and Indian stock markets (2011)A cross-country analysis of herd behavior in Europe (2014)Glued to the TV: Distracted Noise Traders and Stock Market Liquidity (2019)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Trends and random walks in macroeconmic time series (1982)A PANIC Attack on Unit Roots and Cointegration (2004)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Price discovery and volatility spillovers in the DJIA index and futures markets (1999)The Euro and European financial market dependence (2007)How does oil price volatility affect non-energy commodity markets? (2011)The Behavior of Stock-Market Prices (1965)Generalized autoregressive conditional heteroskedasticity (1986)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Stock return variances (1986)Mean reversion in stock prices (1988)Emerging equity market volatility (1997)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Do Industries Explain Momentum? (1999)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Bounds testing approaches to the analysis of level relationships (2001)Competition and Financial Stability (2004)The power problems of unit root test in time series with autoregressive errors (1992)The J-Curve: a literature review (2004)The carbon Kuznets curve: A cloudy picture emitted by bad econometrics? (2007)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1988Testing for Common Trends1,894 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1988Testing for Common Trends428 cited
  • 1997Price and volatility spillovers in Scandinavian stock markets304 cited
  • 1996Delayed Reaction to Good News and the Cross-Autocorrelation of Portfolio Returns274 cited
  • 1997Mean and Volatility Spillover Effects in the U.S. and Pacific–Basin Stock Markets205 cited
  • 1998International transmission of stock price movements: Evidence from the U.S. and five Asian-Pacific markets60 cited
  • 2001Asymmetric volatility spillover in the Tokyo stock exchange49 cited

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  • 2014Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate83 cited

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  • 2020Inter- and intra-regional stock market relations for the GCC bloc25 cited
  • 2012Return and volatility spillovers between Dubai financial market and Abu Dhabi Stock Exchange in the UAE25 cited
  • 2018Shocks and Volatility Spillover Between Stock Markets of Developed Countries and GCC Stock Markets25 cited