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Spillover of fear: Evidence from the stock markets of five developed countries
16 references·16 citing·30 second hopsampled
Spillover of fear: Evidence from the stock markets of five developed countries (2014)Spillover of fear: Evidence from the stoc…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Is the 2007 U.S. Sub-Prime Financial Crisis So Different? An International Historical Comparison (2008)Is the 2007 U.S. Sub-Prime Fi…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…The Investor Fear Gauge (2000)The Investor Fear GaugeGeneralized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Home bias and high turnover (1995)Home bias and high turnoverHome Bias in Equity Portfolios, Inflation Hedging, and International Capital Market Equilibrium (1994)Home Bias in Equity Portfolio…Investor Diversification and International Equity Markets (1991)Investor Diversification and …Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)Testing for Unit Roots in Aut…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Stock market integration and volatility spillovers: new evidence from Asia–Pacific and European markets (2023)Stock market integration and …Spillovers and connectedness between Chinese and ASEAN stock markets during bearish and bullish market statuses (2023)Spillovers and connectedness …What drives cross-border spillovers among sovereign CDS, foreign exchange and stock markets? (2022)What drives cross-border spil…The US equity sectors, implied volatilities, and COVID-19: What does the spillover analysis reveal? (2021)The US equity sectors, implie…Frequency spillovers, connectedness, and the hedging effectiveness of oil and gold for US sector ETFs (2021)Frequency spillovers, connect…Cryptocurrency connectedness nexus the COVID-19 pandemic: evidence from time-frequency domains (2021)Cryptocurrency connectedness …Liner shipping industry and oil price volatility: Dynamic connectedness and portfolio diversification (2020)Liner shipping industry and o…Dynamic behaviors and contributing factors of volatility spillovers across G7 stock markets (2020)Dynamic behaviors and contrib…Volatility transmission between stock and foreign exchange markets: a connectedness analysis (2019)Volatility transmission betwe…Dynamic spillovers and connectedness between stock, commodities, bonds, and VIX markets (2019)Dynamic spillovers and connec…Tail dependence networks of global stock markets (2018)Tail dependence networks of g…Fear connectedness among asset classes (2018)Fear connectedness among asse…Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian Graphical Structural VAR model (2017)Does global fear predict fear…Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility (2016)Using connectedness analysis …Risk-On/Risk-Off: Financial Market Response to Investor Fear (2016)Risk-On/Risk-Off: Financial M…Volatility spillovers in EMU sovereign bond markets (2015)Volatility spillovers in EMU …Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Macroeconomics and Reality (1980)Dynamic Conditional Correlation (2002)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Time Series Analysis: Forecasting and Control (1977)Testing for unit roots in heterogeneous panels (2003)The robustness of identified VAR conclusions about money (1998)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Foreign Speculators and Emerging Equity Markets (2000)Does financial liberalization spur growth? (2005)Familiarity Breeds Investment (2001)International Asset Allocation With Regime Shifts (2002)The determinants of cross-border equity flows (2004)Extreme Correlation of International Equity Markets (2001)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order3,426 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 1991Investor Diversification and International Equity Markets2,542 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1995Home bias and high turnover1,245 cited
  • 2000The Investor Fear Gauge1,097 cited
  • 2008Is the 2007 U.S. Sub-Prime Financial Crisis So Different? An International Historical Comparison978 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 1994Home Bias in Equity Portfolios, Inflation Hedging, and International Capital Market Equilibrium671 cited
  • Cited by

    • 2017Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian Graphical Structural VAR model116 cited
    • 2021Frequency spillovers, connectedness, and the hedging effectiveness of oil and gold for US sector ETFs112 cited
    • 2019Dynamic spillovers and connectedness between stock, commodities, bonds, and VIX markets102 cited
    • 2018Tail dependence networks of global stock markets89 cited
    • 2016Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility74 cited
    • 2021The US equity sectors, implied volatilities, and COVID-19: What does the spillover analysis reveal?67 cited
    • 2015Volatility spillovers in EMU sovereign bond markets65 cited
    • 2020Dynamic behaviors and contributing factors of volatility spillovers across G7 stock markets64 cited
    • 2020Liner shipping industry and oil price volatility: Dynamic connectedness and portfolio diversification53 cited
    • 2016Risk-On/Risk-Off: Financial Market Response to Investor Fear46 cited
    • 2022What drives cross-border spillovers among sovereign CDS, foreign exchange and stock markets?42 cited
    • 2018Fear connectedness among asset classes39 cited
    • 2021Cryptocurrency connectedness nexus the COVID-19 pandemic: evidence from time-frequency domains33 cited
    • 2023Spillovers and connectedness between Chinese and ASEAN stock markets during bearish and bullish market statuses27 cited
    • 2023Stock market integration and volatility spillovers: new evidence from Asia–Pacific and European markets26 cited
    • 2019Volatility transmission between stock and foreign exchange markets: a connectedness analysis25 cited