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The interdependence of share markets in the developed economies of East Asia
16 references·15 citing·37 second hop
The interdependence of share markets in the developed economies of East Asia (2003)The interdependence of share markets in t…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…No Contagion, Only Interdependence: Measuring Stock Market Co-movements (1999)No Contagion, Only Interdepen…Residual-based tests for cointegration in models with regime shifts (1996)Residual-based tests for coin…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Time-Varying World Market Integration (1995)Time-Varying World Market Int…International stock market linkages: Evidence from the pre- and post-October 1987 period (1993)International stock market li…The International Crash of October 1987: Causality Tests (1992)The International Crash of Oc…Common stochastic trends in international stock markets (1992)Common stochastic trends in i…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…International Investments. (1989)International Investments.COINTEGRATION AND ERROR CORRECTION: REPRESENTATION (1987)COINTEGRATION AND ERROR CORRE…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…The Relationship Between Equity Indices on World Exchanges (1979)The Relationship Between Equi…INTERNATIONAL PORTFOLIO DIVERSIFICATION: A MULTIVARIATE ANALYSIS FOR A GROUP OF LATIN AMERICAN COUNTRIES (1973)INTERNATIONAL PORTFOLIO DIVER…International Diversification of Investment Portfolios (1970)International Diversification…Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)Internationally Diversified P…Diffusion of COVID-19 impact across selected stock markets: a wavelet coherency analysis (2020)Diffusion of COVID-19 impact …Are Islamic stocks immune from financial crises? 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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
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1996Residual-based tests for cointegration in models with regime shifts2,521 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1987COINTEGRATION AND ERROR CORRECTION: REPRESENTATION1,262 cited
  • 1970International Diversification of Investment Portfolios1,130 cited
  • 1968Internationally Diversified Portfolios: Welfare Gains and Capital Flows1,025 cited
  • 1999No Contagion, Only Interdependence: Measuring Stock Market Co-movements968 cited
  • 1992Common stochastic trends in international stock markets944 cited
  • 1995Time-Varying World Market Integration594 cited
  • 1993International stock market linkages: Evidence from the pre- and post-October 1987 period561 cited
  • 1979The Relationship Between Equity Indices on World Exchanges339 cited
  • 1989International Investments.291 cited
  • 1973INTERNATIONAL PORTFOLIO DIVERSIFICATION: A MULTIVARIATE ANALYSIS FOR A GROUP OF LATIN AMERICAN COUNTRIES

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285 cited
  • 1992The International Crash of October 1987: Causality Tests275 cited
  • Cited by

    • 2008STOCK MARKET INTEGRATION FOR THE TRANSITION ECONOMIES: TIME-VARYING CONDITIONAL CORRELATION APPROACH81 cited
    • 2007Interdependence of international equity variances: Evidence from East Asian markets77 cited
    • 2012Enter the dragon: Interactions between Chinese, US and Asia-Pacific equity markets, 1995–201068 cited
    • 2015Financial Crisis and Contagion Effects to Indian Stock Market: ‘DCC–GARCH’ Analysis44 cited
    • 2014Why is no financial crisis a dress rehearsal for the next? Exploring contagious heterogeneities across major Asian stock markets38 cited
    • 2007International Stock Market Integration and Its Economic Determinants: A Study of Indian and World Equity Markets36 cited
    • 2017Dynamic linkages among developed, emerging and frontier capital markets of Asia-Pacific region34 cited
    • 2014Integration and Dynamic Linkages of the Indian Stock Market with Bric - An Empirical Study33 cited
    • 2020Are Islamic stocks immune from financial crises? Evidence from contagion tests31 cited
    • 2017Do international investors cause stock market spillovers? Comparing responses of cross-listed stocks between accessible and inaccessible markets29 cited
    • 2011Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data28 cited
    • 2014A spatial–temporal analysis of East Asian equity market linkages25 cited
    • 2012Dynamic Linkages among Financial Markets in the Greater China Region: A Multivariate Asymmetric Approach21 cited
    • 2011Chinese and Indian Stock Market Linkages with Developed Stock Markets20 cited
    • 2020Diffusion of COVID-19 impact across selected stock markets: a wavelet coherency analysis20 cited