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Which market integration measure?
16 references·14 citing·35 second hop
Which market integration measure? (2016)Which market integration measure?Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…Rethinking Macroeconomic Policy (2010)Rethinking Macroeconomic Poli…Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Dynamic correlation analysis …International Stock Return Comovements (2005)International Stock Return Co…Global capital markets integration, crisis, and growth (2004)Global capital markets integr…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Long-Term Global Market Correlations (2001)Long-Term Global Market Corre…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Investment-Cash Flow Sensitivities are Useful: A Comment on Kaplan and Zingales (2000)Investment-Cash Flow Sensitiv…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Volatility and Links between National Stock Markets (1994)Volatility and Links between …Volatiltiy and Links Between National Stock Markets (1990)Volatiltiy and Links Between …Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series (1971)Best Linear Unbiased Interpol…The importance of ABS 2 journals in finance scholarship: Evidence from a bibliometric case study (2023)The importance of ABS 2 journ…Spillovers and connectedness between Chinese and ASEAN stock markets during bearish and bullish market statuses (2023)Spillovers and connectedness …Exchange rate co-movements and corporate foreign exchange exposures: A study on RMB (2023)Exchange rate co-movements an…Financial Integration in the EU28 Equity Market: measures and drivers (2022)Financial Integration in the …Dynamic spillover effects and portfolio strategies between crude oil, gold and Chinese stock markets related to new energy vehicle (2022)Dynamic spillover effects and…COVID-19 pandemic’s impact on intraday volatility spillover between oil, gold, and stock markets (2022)COVID-19 pandemic’s impact on…Spillovers to sectoral equity returns: do liquidity and financial positions matter? (2021)Spillovers to sectoral equity…Capital flows at risk: Taming the ebbs and flows (2021)Capital flows at risk: Taming…Financial fragmentation and SMEs’ access to finance (2020)Financial fragmentation and S…Does Regulatory Cooperation Help Integrate Equity Markets? (2020)Does Regulatory Cooperation H…Two centuries of global financial market integration: Equities, government bonds, treasury bills, and currencies (2019)Two centuries of global finan…Modelling volatility spillovers from the US equity market to ASEAN stock markets (2019)Modelling volatility spillove…Financial liberalization and cross-border market integration: Evidence from China's stock market (2018)Financial liberalization and …Financial integration in Africa: New evidence using network approach (2018)Financial integration in Afri…ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)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)Emerging equity market volatility (1997)International Asset Allocation With Regime Shifts (2002)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A Capital Asset Pricing Model with Time-Varying Covariances (1988)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)A NEW MEASURE OF RANK CORRELATION (1938)Asset pricing and the bid-ask spread (1986)Liquidity Risk and Expected Stock Returns (2003)CoVaR (2016)Measuring Systemic Risk (2016)SRISK: A conditional capital shortfall measure of systemic risk (2017)What Do a Million Observations on Banks Say About the Transmission of Monetary Policy? (2000)Zero Bound on Interest Rates and Optimal Monetary Policy (2003)MACROPRUDENTIAL POLICY – A LITERATURE REVIEW (2010)Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? (2011)Central Bank Digital Currency and the Future of Monetary Policy (2017)Measuring the natural rate of interest: International trends and determinants (2017)Forecasting and Conditional Projection Using Realistic Prior Distributions (1983)Forecasting and conditional projection using realistic prior distributions (1984)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)An empirical analysis of herd behavior in global stock markets (2010)Financial crises and stock market contagion in a multivariate time-varying asymmetric framework (2010)The COVID-19 Outbreak and Affected Countries Stock Markets Response (2020)
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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 1971Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series1,192 cited
  • 2010Rethinking Macroeconomic Policy941 cited
  • 2007Dynamic correlation analysis of financial contagion: Evidence from Asian markets896 cited
  • 2005International Stock Return Comovements860 cited
  • 2001Long-Term Global Market Correlations783 cited
  • 2000Investment-Cash Flow Sensitivities are Useful: A Comment on Kaplan and Zingales744 cited
  • 1990Volatiltiy and Links Between National Stock Markets709 cited
  • 2004Global capital markets integration, crisis, and growth

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682 cited
  • 1994Volatility and Links between National Stock Markets679 cited
  • Cited by

    • 2022Dynamic spillover effects and portfolio strategies between crude oil, gold and Chinese stock markets related to new energy vehicle173 cited
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    • 2019Modelling volatility spillovers from the US equity market to ASEAN stock markets76 cited
    • 2022COVID-19 pandemic’s impact on intraday volatility spillover between oil, gold, and stock markets68 cited
    • 2020Does Regulatory Cooperation Help Integrate Equity Markets?56 cited
    • 2018Financial liberalization and cross-border market integration: Evidence from China's stock market52 cited
    • 2020Financial fragmentation and SMEs’ access to finance39 cited
    • 2022Financial Integration in the EU28 Equity Market: measures and drivers37 cited
    • 2023Spillovers and connectedness between Chinese and ASEAN stock markets during bearish and bullish market statuses27 cited
    • 2021Spillovers to sectoral equity returns: do liquidity and financial positions matter?25 cited
    • 2019Two centuries of global financial market integration: Equities, government bonds, treasury bills, and currencies23 cited
    • 2018Financial integration in Africa: New evidence using network approach23 cited
    • 2023The importance of ABS 2 journals in finance scholarship: Evidence from a bibliometric case study18 cited
    • 2023Exchange rate co-movements and corporate foreign exchange exposures: A study on RMB17 cited