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Market Integration and Contagion

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References

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
2001Extreme Correlation of International Equity Markets2,608 cited
1994Threshold heteroskedastic models2,294 cited
1995Time‐Varying World Market Integration2,152 cited
1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
2000Foreign Speculators and Emerging Equity Markets1,868 cited
1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
1997Emerging equity market volatility1,703 cited
1990Transmission of Volatility between Stock Markets1,588 cited
2002Asymmetric correlations of equity portfolios1,530 cited
2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
1990Alternative models for conditional stock volatility1,272 cited
1993The Risk and Predictability of International Equity Returns1,065 cited
1996Contagious Currency Crises959 cited
1996

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Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements

867 cited

Cited by

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2004Changing Risk, Return, and Leverage: The 1997 Asian Financial Crisis53 cited
2011Analysing interconnectivity among economies48 cited
2018Information spillover across international real estate investment trusts: Evidence from an entropy-based network analysis46 cited
2018Does ethics improve stock market resilience in times of instability?44 cited
2004International Financial Contagion: The Theory, Evidence and Policy Implications43 cited
2003Equity Transmission Mechanisms from Asia to Australia: Interdependence or Contagion?39 cited
2020Does corporate governance affect CEO compensation in Indian manufacturing firms?35 cited
2015Real Sector Output and Financial Liberalisation in Nigeria34 cited
2019The Comovement of Exchange Rates and Stock Markets in Central and Eastern Europe34 cited
2014Dynamic correlation analysis of spill-over effects of interest rate risk and return on Australian and US financial firms31 cited
2003Does International Financial Contagion Really Exist?30 cited