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Corporate Vulnerability Index as a Fear Gauge?Exploring the Contagion Effect between U.S. and Korean Markets
16 references·16 citing·44 second hopsampled
Corporate Vulnerability Index as a Fear Gauge?Exploring the Contagion Effect between U.S. and Korean Markets (2015)Corporate Vulnerability Index as a Fear G…The subprime credit crisis and contagion in financial markets (2010)The subprime credit crisis an…‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion (2005)‘Some contagion, some interde…International Financial Contagion (2001)International Financial Conta…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Rational contagion and the globalization of securities markets (2000)Rational contagion and the gl…Financial Market Contagion in the Asian Crisis (1999)Financial Market Contagion in…Capital Flows to Latin America: Is There Evidence of Contagion Effects? (1996)Capital Flows to Latin Americ…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Do Bulls and Bears Move Acros…International stock market linkages: Evidence from the pre- and post-October 1987 period (1993)International stock market li…A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market (1992)A Further Analysis of the Lea…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…The Dynamics of Stock Index and Stock Index Futures Returns (1990)The Dynamics of Stock Index a…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…International Transmission of Stock Market Movements (1989)International Transmission of…Does the world smile together? A network analysis of global index option implied volatilities (2022)Does the world smile together…Does vega-neutral options trading contain information? (2021)Does vega-neutral options tra…The impact of net buying pressure on index options prices (2020)The impact of net buying pres…Economic indicators and stock market volatility in an emerging economy (2020)Economic indicators and stock…Volatility information trading in the index options market: An intraday analysis (2019)Volatility information tradin…The impacts of public news announcements on intraday implied volatility dynamics (2019)The impacts of public news an…Noise traders, mispricing, and price adjustments in derivatives markets (2019)Noise traders, mispricing, an…How does FX liquidity affect the relationship between foreign ownership and stock liquidity? (2019)How does FX liquidity affect …The impacts of overseas market shocks on the CDS-option basis (2018)The impacts of overseas marke…The directional information content of options volumes (2018)The directional information c…Dynamic conditional relationships between developed and emerging markets (2018)Dynamic conditional relations…The dynamic conditional relationship between stock market returns and implied volatility (2017)The dynamic conditional relat…Monetary Policy Announcements, Communication, and Stock Market Liquidity (2016)Monetary Policy Announcements…Tests on the Monotonicity Properties of KOSPI 200 Options Prices (2015)Tests on the Monotonicity Pro…Market overreaction and investment strategies (2015)Market overreaction and inves…Effects of the US Stock Market Return and Volatility on the VKOSPI (2015)Effects of the US Stock Marke…Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Emerging equity market volatility (1997)International Asset Allocation With Regime Shifts (2002)A Theory of Intraday Patterns: Volume and Price Variability (1988)Noise Trader Risk in Financial Markets (1990)ARCH modeling in finance (1992)Chapter 49 Arch models (1994)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Predicting Volatility in the Foreign Exchange Market (1995)From value at risk to stress testing: The extreme value approach (2000)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)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)Stock return variances (1986)Mean reversion in stock prices (1988)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Family succession and firm performance: Evidence from Italian family firms (2007)Assessing financial contagion in the interbank market: Maximum entropy versus observed interbank lending patterns (2010)Service Regulation and Growth: Evidence from OECD Countries (2011)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)The General Theory of Employment (1937)On the Impossibility of Informationally Efficient Markets (1980)A Simple Model of Herd Behavior (1992)Contagion as a Wealth Effect (2001)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Competition and Financial Stability (2004)
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References

  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 2000Rational contagion and the globalization of securities markets952 cited
  • 1994Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility874 cited
  • 1990The Dynamics of Stock Index and Stock Index Futures Returns803 cited
  • 2005‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion791 cited
  • 2010The subprime credit crisis and contagion in financial markets654 cited
  • 1992A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market635 cited
  • 1999Financial Market Contagion in the Asian Crisis594 cited
  • 1993International stock market linkages: Evidence from the pre- and post-October 1987 period561 cited
  • 2001International Financial Contagion

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487 cited
  • 1996Capital Flows to Latin America: Is There Evidence of Contagion Effects?476 cited
  • Cited by

    • 2019The impacts of public news announcements on intraday implied volatility dynamics45 cited
    • 2020Economic indicators and stock market volatility in an emerging economy45 cited
    • 2015Tests on the Monotonicity Properties of KOSPI 200 Options Prices42 cited
    • 2015Effects of the US Stock Market Return and Volatility on the VKOSPI42 cited
    • 2018The directional information content of options volumes42 cited
    • 2021Does vega-neutral options trading contain information?41 cited
    • 2019Noise traders, mispricing, and price adjustments in derivatives markets38 cited
    • 2020The impact of net buying pressure on index options prices38 cited
    • 2016Monetary Policy Announcements, Communication, and Stock Market Liquidity32 cited
    • 2019How does FX liquidity affect the relationship between foreign ownership and stock liquidity?30 cited
    • 2018The impacts of overseas market shocks on the CDS-option basis28 cited
    • 2018Dynamic conditional relationships between developed and emerging markets27 cited
    • 2017The dynamic conditional relationship between stock market returns and implied volatility27 cited
    • 2019Volatility information trading in the index options market: An intraday analysis27 cited
    • 2022Does the world smile together? A network analysis of global index option implied volatilities26 cited
    • 2015Market overreaction and investment strategies23 cited