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Return and Volatility Spillovers Effects: Study of Asian Emerging Stock Markets
16 references·0 citing·46 second hopsampled
Return and Volatility Spillovers Effects: Study of Asian Emerging Stock Markets (2018)Return and Volatility Spillovers Effects:…The Global Crisis and Equity Market Contagion (2014)The Global Crisis and Equity …Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Dynamic correlation analysis …Volatility Spillover Effects in European Equity Markets (2005)Volatility Spillover Effects …A Decomposition of Global Linkages in Financial Markets Over Time (2004)A Decomposition of Global Lin…Stock market linkages: Evidence from Latin America (2002)Stock market linkages: Eviden…Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)Volatility spillover effects …Volatility in Emerging Stock Markets (1999)Volatility in Emerging Stock …Contagion and trade (1999)Contagion and tradeContagion and Trade: Why Are Currency Crises Regional? (1998)Contagion and Trade: Why Are …Emerging equity market volatility (1997)Emerging equity market volati…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Asymmetric volatility transmission in international stock markets (1995)Asymmetric volatility transmi…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Macroeconomics and Reality (1980)Macroeconomics and RealityTime Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)Expected stock returns and volatility (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers (2015)COVID-19 and stock market volatility: An industry level analysis (2020)The Behavior of Stock-Market Prices (1965)Transmission of Volatility between Stock Markets (1990)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)A Model of Balance-of-Payments Crises (1979)Rational and Self-Fulfilling Balance-of-Payments Crises (1984)Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks (1995)A New Approach to Measuring Financial Contagion (2000)Contagion: Understanding How It Spreads (2000)The Unholy Trinity of Financial Contagion (2003)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)International Asset Allocation With Regime Shifts (2002)Does financial liberalization spur growth? (2005)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)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)Autoregressive conditional heteroskedasticity and changes in regime (1994)Stock Market Openings: Experience of Emerging Economies (2000)Dating the integration of world equity markets (2002)Research in emerging markets finance: looking to the future (2002)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)Asymmetric correlations of equity portfolios (2002)Individualism and Momentum around the World (2010)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1997Emerging equity market volatility1,703 cited
  • 2007Dynamic correlation analysis of financial contagion: Evidence from Asian markets896 cited
  • 1998Contagion and Trade: Why Are Currency Crises Regional?798 cited
  • 1999Volatility in Emerging Stock Markets735 cited
  • 1995Asymmetric volatility transmission in international stock markets728 cited
  • 2014The Global Crisis and Equity Market Contagion708 cited
  • 2000Volatility spillover effects from Japan and the US to the Pacific–Basin670 cited
  • 2005Volatility Spillover Effects in European Equity Markets651 cited
  • 1999Contagion and trade574 cited
  • 2002Stock market linkages: Evidence from Latin America421 cited
  • 2004A Decomposition of Global Linkages in Financial Markets Over Time

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