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Modeling equity market integration using smooth transition analysis: A study of Eastern European stock markets
16 references·16 citing·45 second hopsampled
Modeling equity market integration using smooth transition analysis: A study of Eastern European stock markets (2005)Modeling equity market integration using …Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Unit roots and smooth transitions (1998)Unit roots and smooth transit…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Time-Varying World Market Integration (1995)Time-Varying World Market Int…Predictable Risk and Returns in Emerging Markets (1995)Predictable Risk and Returns …Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Predictable Risk and Returns in Emerging Markets (1994)Predictable Risk and Returns …Modelling nonlinear economic relationships (1994)Modelling nonlinear economic …Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration (1992)Predictable Stock Returns in …Common stochastic trends in international stock markets (1992)Common stochastic trends in i…Evolution in dynamic linkages across daily national stock indexes (1991)Evolution in dynamic linkages…The Internationalisation of Stock Markets and the Abolition of U.K. Exchange Control (1989)The Internationalisation of S…International Transmission of Stock Market Movements (1989)International Transmission of…Macroeconomics and Reality (1980)Macroeconomics and RealityWhy Not Diversify Internationally Rather Than Domestically? (1974)Why Not Diversify Internation…International Diversification of Investment Portfolios (1970)International Diversification…STOCK RETURNS, VOLATILITY AND MEAN REVERSION IN EMERGING AND DEVELOPED FINANCIAL MARKETS (2018)STOCK RETURNS, VOLATILITY AND…Dynamic stock–bond return correlations and financial market uncertainty (2014)Dynamic stock–bond return cor…An analysis of South-Eastern European stock markets: Evidence on cointegration and portfolio diversification benefits (2014)An analysis of South-Eastern …Forecasting volatility with asymmetric smooth transition dynamic range models (2012)Forecasting volatility with a…Baltic stock markets and the financial crisis of 2008–2009 (2012)Baltic stock markets and the …U.S. and Latin American stock market linkages (2011)U.S. and Latin American stock…Stock Market Integration between Three CEECs, Russia, and the UK (2011)Stock Market Integration betw…Return and Volatility Spillovers Among Asian Stock Markets (2011)Return and Volatility Spillov…Changes in stock markets interdependencies as a result of the global financial crisis: Empirical investigation on the CEE region (2011)Changes in stock markets inte…Cointegration in Central and East European markets in light of EU accession (2010)Cointegration in Central and …Stock market integration between new EU member states and the Euro-zone (2009)Stock market integration betw…Spillover effects from London and Frankfurt to Central and Eastern European stock markets (2009)Spillover effects from London…STOCK MARKET INTEGRATION FOR THE TRANSITION ECONOMIES: TIME‐VARYING CONDITIONAL CORRELATION APPROACH (2008)STOCK MARKET INTEGRATION FOR …STOCK MARKET INTEGRATION FOR THE TRANSITION ECONOMIES: TIME-VARYING CONDITIONAL CORRELATION APPROACH (2008)STOCK MARKET INTEGRATION FOR …Bayesian inference and model comparison for asymmetric smooth transition heteroskedastic models (2008)Bayesian inference and model …Testing for predictability in equity returns for European transition markets (2006)Testing for predictability in…Liquidity Preference as Behavior Towards Risk (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)What Determines the Domestic Bias and Foreign Bias? 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(2010)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The arbitrage theory of capital asset pricing (1976)Local Return Factors and Turnover in Emerging Stock Markets (1999)A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)Political connections and the cost of equity capital (2012)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)Risk, Return, and Equilibrium: Empirical Tests (1973)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)
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References

  • 1980Macroeconomics and Reality12,826 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1970International Diversification of Investment Portfolios1,130 cited
  • 1994Predictable Risk and Returns in Emerging Markets1,042 cited
  • 1995Predictable Risk and Returns in Emerging Markets982 cited
  • 1992Common stochastic trends in international stock markets944 cited
  • 1974Why Not Diversify Internationally Rather Than Domestically?899 cited
  • 1995Time-Varying World Market Integration594 cited
  • 1992Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration512 cited
  • 1998Unit roots and smooth transitions465 cited
  • 1989The Internationalisation of Stock Markets and the Abolition of U.K. Exchange Control302 cited
  • 1994Modelling nonlinear economic relationships296 cited
  • 1991

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Evolution in dynamic linkages across daily national stock indexes
286 cited

Cited by

  • 2011U.S. and Latin American stock market linkages113 cited
  • 2008STOCK MARKET INTEGRATION FOR THE TRANSITION ECONOMIES: TIME‐VARYING CONDITIONAL CORRELATION APPROACH85 cited
  • 2008STOCK MARKET INTEGRATION FOR THE TRANSITION ECONOMIES: TIME-VARYING CONDITIONAL CORRELATION APPROACH81 cited
  • 2011Return and Volatility Spillovers Among Asian Stock Markets81 cited
  • 2014An analysis of South-Eastern European stock markets: Evidence on cointegration and portfolio diversification benefits80 cited
  • 2014Dynamic stock–bond return correlations and financial market uncertainty79 cited
  • 2009Stock market integration between new EU member states and the Euro-zone78 cited
  • 2006Testing for predictability in equity returns for European transition markets77 cited
  • 2011Stock Market Integration between Three CEECs, Russia, and the UK76 cited
  • 2012Baltic stock markets and the financial crisis of 2008–200960 cited
  • 2010Cointegration in Central and East European markets in light of EU accession49 cited
  • 2009Spillover effects from London and Frankfurt to Central and Eastern European stock markets44 cited
  • 2012Forecasting volatility with asymmetric smooth transition dynamic range models39 cited
  • 2008Bayesian inference and model comparison for asymmetric smooth transition heteroskedastic models38 cited
  • 2018STOCK RETURNS, VOLATILITY AND MEAN REVERSION IN EMERGING AND DEVELOPED FINANCIAL MARKETS37 cited
  • 2011Changes in stock markets interdependencies as a result of the global financial crisis: Empirical investigation on the CEE region36 cited