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On the effect of herding behavior on dependence structure between stock markets: Evidence from GCC countries
16 references·1 citing·46 second hop
On the effect of herding behavior on dependence structure between stock markets: Evidence from GCC countries (2018)On the effect of herding behavior on depe…An empirical analysis of herd behavior in global stock markets (2010)An empirical analysis of herd…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…Herd Behavior in Financial Markets (2000)Herd Behavior in Financial Ma…Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlati…Contagion: Understanding How It Spreads (2000)Contagion: Understanding How …An examination of herd behavior in equity markets: An international perspective (2000)An examination of herd behavi…Volatility and cross correlation across major stock markets (1998)Volatility and cross correlat…Rational herding in financial economics (1996)Rational herding in financial…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Following the Pied Piper: Do Individual Returns Herd around the Market? (1995)Following the Pied Piper: Do …The impact of institutional trading on stock prices (1992)The impact of institutional t…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Herd Behavior and Investment (1988)Herd Behavior and InvestmentEFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Do Oil Prices and Financial Indicators Drive the Herding Behavior in Commodity Markets? (2020)Do Oil Prices and Financial I…The General Theory of Employment (1937)Network externalities, competition, and compatibility (1985)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)The Limits of Arbitrage (1995)The Categorical Imperative: Securities Analysts and the Illegitimacy Discount (1999)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)The General Theory of Employment, Interest and Money. (1936)The General Theory of Employment, Interest and Money. (1936)Bank Runs, Deposit Insurance, and Liquidity (1983)Herding among security analysts (2000)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)Optimum consumption and portfolio rules in a continuous-time model (1971)A Theory of the Term Structure of Interest Rates (1985)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to Measuring Financial Contagion (2003)Market Integration and Contagion (2005)How Sovereign Is Sovereign Credit Risk? (2011)Essays in Positive Economics (1954)Does the Stock Market Overreact? (1985)A Simple Model of Herd Behavior (1992)Risk Taking by Mutual Funds as a Response to Incentives (1997)Investor Psychology and Asset Pricing (2001)The Geography of Investment: Informed Trading and Asset Prices (2001)Generalized autoregressive conditional heteroskedasticity (1986)A Capital Asset Pricing Model with Time-Varying Covariances (1988)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)The Econometrics of Financial Markets (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)The Econometrics of Financial Markets (2012)Capital Market Equilibrium with Restricted Borrowing (1972)Foreign Speculators and Emerging Equity Markets (2000)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Herding behavior in Chinese stock markets: An examination of A and B shares (2007)
this work references cited by second hop

References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1988Herd Behavior and Investment2,815 cited
  • 1992The impact of institutional trading on stock prices2,068 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
  • 2000An examination of herd behavior in equity markets: An international perspective1,288 cited
  • 1996Rational herding in financial economics1,272 cited
  • 2000Herd Behavior in Financial Markets1,232 cited
  • 1995Following the Pied Piper: Do Individual Returns Herd around the Market?1,170 cited
  • 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models1,108 cited
  • 2010An empirical analysis of herd behavior in global stock markets880 cited
  • 2000Contagion: Understanding How It Spreads812 cited

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  • 1998Volatility and cross correlation across major stock markets525 cited
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    • 2020Do Oil Prices and Financial Indicators Drive the Herding Behavior in Commodity Markets?33 cited