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Investors’ risk perceptions in the US and global stock market integration
16 references·1 citing·44 second hop
Investors’ risk perceptions in the US and global stock market integration (2020)Investors’ risk perceptions in the US and…Economic policy uncertainty and stock market volatility (2015)Economic policy uncertainty a…The VIX, the variance premium and stock market volatility (2014)The VIX, the variance premium…Do global factors impact BRICS stock markets? A quantile regression approach (2014)Do global factors impact BRIC…Dynamic co-movements of stock market returns, implied volatility and policy uncertainty (2013)Dynamic co-movements of stock…An empirical analysis of herd behavior in global stock markets (2010)An empirical analysis of herd…Global market integration: An alternative measure and its application☆ (2009)Global market integration: An…Characterizing World Market Integration through Time (2007)Characterizing World Market I…EMU and European Stock Market Integration* (2006)EMU and European Stock Market…Does herding behavior exist in Chinese stock markets? (2005)Does herding behavior exist i…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)Forecasting S&P 100 volatilit…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Stresin Bireylerin Risk Algıları Üzerine Etkisi (2023)Stresin Bireylerin Risk Algıl…Value versus Growth: The International Evidence (1998)Extreme Correlation of International Equity Markets (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)What Segments Equity Markets? (2011)Asset Fire Sales and Purchases and the International Transmission of Funding Shocks (2012)How does competition affect bank systemic risk? (2013)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)International Asset Allocation With Regime Shifts (2002)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)The impact of institutional trading on stock prices (1992)Cross-country effects in herding behaviour: Evidence from four south European markets (2011)Investor herding behaviour of Chinese stock market (2013)Herding on fundamental information: A comparative study (2014)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)The Pricing of Options and Corporate Liabilities (1973)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Volatility forecast comparison using imperfect volatility proxies (2010)Financial time series forecasting model based on CEEMDAN and LSTM (2018)Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)The Impact of Uncertainty Shocks (2009)Exploiting the errors: A simple approach for improved volatility forecasting (2015)The Asset Redeployability Channel: How Uncertainty Affects Corporate Investment (2016)The Time Variation in Risk Appetite and Uncertainty (2021)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)Does financial liberalization spur growth? (2005)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)A multiple indicators model for volatility using intra-daily data (2005)Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements (2005)Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models (2004)The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016)
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References

  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 2003Forecasting Volatility in Financial Markets: A Review1,373 cited
  • 2010An empirical analysis of herd behavior in global stock markets880 cited
  • 2014The VIX, the variance premium and stock market volatility812 cited
  • 2003Forecasting Volatility in Financial Markets: A Review800 cited
  • 2009Global market integration: An alternative measure and its application☆621 cited
  • 2001Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns589 cited
  • 2013Dynamic co-movements of stock market returns, implied volatility and policy uncertainty553 cited
  • 2015Economic policy uncertainty and stock market volatility538 cited
  • 2007Characterizing World Market Integration through Time531 cited
  • 2014Do global factors impact BRICS stock markets? A quantile regression approach430 cited
  • 2005Does herding behavior exist in Chinese stock markets?

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409 cited
  • 2006EMU and European Stock Market Integration*379 cited
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    • 2023Stresin Bireylerin Risk Algıları Üzerine Etkisi1 cited