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International Equity Market Comovements: Economic Fundamentals or Contagion?
16 references·3 citing·32 second hop
International Equity Market Comovements: Economic Fundamentals or Contagion? (1999)International Equity Market Comovements: …No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Why Do Markets Move Together?…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…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…How Markets Process Information: News Releases and Volatility (1993)How Markets Process Informati…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Volatiltiy and Links Between National Stock Markets (1990)Volatiltiy and Links Between …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…Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Information and Volatility: T…Day of the Week Effects and Asset Returns (1981)Day of the Week Effects and A…A model of international asset pricing (1981)A model of international asse…Stock returns and the weekend effect (1980)Stock returns and the weekend…An equilibrium model of the international capital market (1974)An equilibrium model of the i…Stock Market Integration and the Speed of Information Transmission (2008)Stock Market Integration and …Does International Financial Contagion Really Exist? (2003)Does International Financial …The behavior of financial analysts during the Asian financial crisis in Indonesia, Korea, Malaysia, and Thailand (2001)The behavior of financial ana…The Pricing of Options and Corporate Liabilities (1973)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)The Behavior of Stock-Market Prices (1965)Time Series Analysis: Forecasting and Control (1977)The relationship between return and market value of common stocks (1981)A Further Investigation of the Weekend Effect in Stock Returns (1984)Order imbalance, liquidity, and market returns (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A Note on Uncertainty and Indifference Curves (1969)Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)Size, value, and momentum in international stock returns (2012)… and the Cross-Section of Expected Returns (2015)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock return variances (1986)The Efficient Market Hypothesis and Its Critics (2003)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)Transmission of Volatility between Stock Markets (1990)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Emerging equity market volatility (1997)Trying to Explain Home Bias in Equities and Consumption (1999)Competition and Financial Stability (2004)Extreme Correlation of International Equity Markets (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 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
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1980Stock returns and the weekend effect1,997 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1981Day of the Week Effects and Asset Returns1,173 cited
  • 1974An equilibrium model of the international capital market1,130 cited
  • 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy1,047 cited
  • 1993How Markets Process Information: News Releases and Volatility970 cited
  • 1994Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility874 cited
  • 1996Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements867 cited
  • 1981A model of international asset pricing

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807 cited
  • 1990Volatiltiy and Links Between National Stock Markets709 cited
  • Cited by

    • 2008Stock Market Integration and the Speed of Information Transmission34 cited
    • 2003Does International Financial Contagion Really Exist?30 cited
    • 2001The behavior of financial analysts during the Asian financial crisis in Indonesia, Korea, Malaysia, and Thailand28 cited