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Interdependence and Volatility Spillovers Under Market Liberalization: The Case of Istanbul Stock Exchange
16 references·8 citing·31 second hop
Interdependence and Volatility Spillovers Under Market Liberalization: The Case of Istanbul Stock Exchange (2003)Interdependence and Volatility Spillovers…Foreign Speculators and Emerging Equity Markets (2000)Foreign Speculators and Emerg…Emerging equity market volatility (1997)Emerging equity market volati…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Five alternative methods of estimating long-run equilibrium relationships (1994)Five alternative methods of e…Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Do Bulls and Bears Move Acros…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION (1993)FINITE‐SAMPLE SIZES OF JOHANS…Critical Values for Cointegratio11 Tests* (1991)Critical Values for Cointegra…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Persistence in Variance, Structural Change, and the GARCH Model (1990)Persistence in Variance, Stru…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…International Transmission of Stock Market Movements (1989)International Transmission of…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…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…Financial integration in emerging market economies: Effects on volatility transmission and contagion (2015)Financial integration in emer…Financial liberalisation and international market interdependence: Evidence from China’s stock market in the post-WTO accession period (2014)Financial liberalisation and …Volatility Spillovers between Stock and Currency Markets: Evidence from Emerging Eastern Europe (2009)Volatility Spillovers between…Stock Markets Integration: Examining Linkages between Selected World Markets (2009)Stock Markets Integration: Ex…Dynamic Returns Linkages and Volatility Transmission Between South African and World Major Stock Markets (2009)Dynamic Returns Linkages and …An examination of investor reaction to unexpected political and economic events in Turkey (2007)An examination of investor re…Influence of structural changes in transmission of information between stock markets: A European empirical study (2006)Influence of structural chang…Stock Market Integration in the MENA Region: An Application of the ARDL Bounds Testing Approach (2005)Stock Market Integration in t…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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Macroeconomics and Reality (1980)Common stochastic trends in international stock markets (1992)A New Approach to Measuring Financial Contagion (2003)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)International Asset Allocation With Regime Shifts (2002)Does financial liberalization spur growth? (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Specification Tests in Econometrics (1978)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)On the Impossibility of Informationally Efficient Markets (1980)Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices (2000)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)Bounds testing approaches to the analysis of level relationships (2001)Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric correlations of equity portfolios (2002)Individualism and Momentum around the World (2010)
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
  • 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
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 2000Foreign Speculators and Emerging Equity Markets1,868 cited
  • 1997Emerging equity market volatility1,703 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1987COINTEGRATION AND ERROR CORRECTION: REPRESENTATION1,262 cited
  • 1993FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION1,206 cited
  • 1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
  • 1994Five alternative methods of estimating long-run equilibrium relationships1,129 cited
  • 1994Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility

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874 cited
  • 1991Critical Values for Cointegratio11 Tests*762 cited
  • Cited by

    • 2009Volatility Spillovers between Stock and Currency Markets: Evidence from Emerging Eastern Europe58 cited
    • 2009Dynamic Returns Linkages and Volatility Transmission Between South African and World Major Stock Markets55 cited
    • 2005Stock Market Integration in the MENA Region: An Application of the ARDL Bounds Testing Approach54 cited
    • 2007An examination of investor reaction to unexpected political and economic events in Turkey48 cited
    • 2015Financial integration in emerging market economies: Effects on volatility transmission and contagion46 cited
    • 2014Financial liberalisation and international market interdependence: Evidence from China’s stock market in the post-WTO accession period38 cited
    • 2009Stock Markets Integration: Examining Linkages between Selected World Markets33 cited
    • 2006Influence of structural changes in transmission of information between stock markets: A European empirical study29 cited