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Impacts of China's crash on Asia-Pacific financial integration: Volatility interdependence, information transmission and market co-movement
16 references·13 citing·31 second hopsampled
Impacts of China's crash on Asia-Pacific financial integration: Volatility interdependence, information transmission and market co-movement (2018)Impacts of China's crash on Asia-Pacific …Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks (2003)Minimum Lagrange Multiplier U…Emerging equity market volatility (1997)Emerging equity market volati…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Inference in Linear Time Series Models with some Unit Roots (1990)Inference in Linear Time Seri…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…International Transmission of Stock Market Movements (1989)International Transmission of…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Forecasting With Bayesian Vector Autoregressions—Five Years of Experience (1986)Forecasting With Bayesian Vec…Forecasting and conditional projection using realistic prior distributions (1984)Forecasting and conditional p…Forecasting and Conditional Projection Using Realistic Prior Distributions (1983)Forecasting and Conditional P…Spreading of cross-market volatility information: Evidence from multiplex network analysis of volatility spillovers (2023)Spreading of cross-market vol…Spillovers and connectedness between Chinese and ASEAN stock markets during bearish and bullish market statuses (2023)Spillovers and connectedness …Risk spillovers from China's and the US stock markets during high-volatility periods: Evidence from East Asianstock markets (2023)Risk spillovers from China's …Flexible inflation targeting and stock market volatility: Evidence from emerging market economies (2023)Flexible inflation targeting …What influences stock market co-movements between China and its Asia-Pacific trading partners after the Global Financial Crisis? (2022)What influences stock market …From sentiment to systemic risk: Information transmission in Asia-Pacific stock markets (2022)From sentiment to systemic ri…Volatility spillovers among Northeast Asia and the US: Evidence from the global financial crisis and the COVID-19 pandemic (2021)Volatility spillovers among N…Volatility connectedness and market dependence across major financial markets in China economy (2021)Volatility connectedness and …Stock Market Linkages between the Asean Countries, China and the US: A Fractional Integration/cointegration Approach (2021)Stock Market Linkages between…Financial market connectedness: The role of investors’ happiness (2021)Financial market connectednes…Return and Volatility Transmission between World-Leading and Latin American Stock Markets: Portfolio Implications (2020)Return and Volatility Transmi…Linkages between crude oil and emerging Asian stock markets: New evidence from the Chinese stock market crash (2019)Linkages between crude oil an…Directional spillover effects between ASEAN and world stock markets (2019)Directional spillover effects…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Statistical inference in vector autoregressions with possibly integrated processes (1995)The Behavior of Stock-Market Prices (1965)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)The saving and investment nexus for China: evidence from cointegration tests (2005)A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks (2006)The impact of financial development, income, energy and trade on carbon emissions: Evidence from the Indian economy (2014)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric correlations of equity portfolios (2002)Individualism and Momentum around the World (2010)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1990Inference in Linear Time Series Models with some Unit Roots2,561 cited
  • 2003Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks2,398 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1997Emerging equity market volatility1,703 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1986Forecasting With Bayesian Vector Autoregressions—Five Years of Experience1,231 cited
  • 1983Forecasting and Conditional Projection Using Realistic Prior Distributions

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1,209 cited
  • 1984Forecasting and conditional projection using realistic prior distributions1,203 cited
  • Cited by

    • 2019Linkages between crude oil and emerging Asian stock markets: New evidence from the Chinese stock market crash81 cited
    • 2019Directional spillover effects between ASEAN and world stock markets77 cited
    • 2021Volatility spillovers among Northeast Asia and the US: Evidence from the global financial crisis and the COVID-19 pandemic76 cited
    • 2021Financial market connectedness: The role of investors’ happiness70 cited
    • 2023Spreading of cross-market volatility information: Evidence from multiplex network analysis of volatility spillovers59 cited
    • 2021Volatility connectedness and market dependence across major financial markets in China economy43 cited
    • 2021Stock Market Linkages between the Asean Countries, China and the US: A Fractional Integration/cointegration Approach40 cited
    • 2022What influences stock market co-movements between China and its Asia-Pacific trading partners after the Global Financial Crisis?36 cited
    • 2022From sentiment to systemic risk: Information transmission in Asia-Pacific stock markets33 cited
    • 2020Return and Volatility Transmission between World-Leading and Latin American Stock Markets: Portfolio Implications32 cited
    • 2023Risk spillovers from China's and the US stock markets during high-volatility periods: Evidence from East Asianstock markets31 cited
    • 2023Spillovers and connectedness between Chinese and ASEAN stock markets during bearish and bullish market statuses27 cited
    • 2023Flexible inflation targeting and stock market volatility: Evidence from emerging market economies22 cited