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What global economic factors drive emerging Asian stock market returns? Evidence from a dynamic model averaging approach
16 references·1 citing·44 second hopsampled
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Kenneth French and Jay Ritter get special thanks.1 (1998)Market efficiency, long-term …A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1 (1998)A model of investor sentiment…A model of investor sentiment / (1997)A model of investor sentiment…MONETARY AND PORTFOLIO-BALANCE MODELS OF EXCHANGE RATE DETERMINATION (1992)MONETARY AND PORTFOLIO-BALANC…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Financial Cycles in Asset Markets and Regions (2019)Financial Cycles in Asset Mar…Irreversibility, Uncertainty, and Cyclical Investment (1980)Investment Under Uncertainty. 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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*23,066 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,234 cited
  • 1997A model of investor sentiment /4,073 cited
  • 2005Time Varying Structural Vector Autoregressions and Monetary Policy3,044 cited
  • 1998A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.12,942 cited
  • 1998Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.12,631 cited
  • 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US1,955 cited
  • 2013Measuring Economic Policy Uncertainty858 cited
  • 2013International Stock Return Predictability: What Is the Role of the United States?715 cited
  • 2016An Index of Global Economic Policy Uncertainty502 cited
  • 1992MONETARY AND PORTFOLIO-BALANCE MODELS OF EXCHANGE RATE DETERMINATION438 cited
  • 2014Do global factors impact BRICS stock markets? A quantile regression approach430 cited

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2011
Stock Market Liquidity and the Business Cycle
420 cited
  • 2012FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING*394 cited
  • 2005Big Fish in Small Ponds: The Trading Behavior and Price Impact of Foreign Investors in Asian Emerging Equity Markets301 cited
  • 2014Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets268 cited
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    • 2019Financial Cycles in Asset Markets and Regions16 cited