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Integration of African Stock Markets with the Developed Stock Markets: An Analysis of Co-Movements, Volatility and Contagion
16 references·6 citing·36 second hopsampled
Integration of African Stock Markets with the Developed Stock Markets: An Analysis of Co-Movements, Volatility and Contagion (2020)Integration of African Stock Markets with…The Global Crisis and Equity Market Contagion (2014)The Global Crisis and Equity …Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach (2013)Global financial crisis and e…The more contagion effect on emerging markets: The evidence of DCC-GARCH model (2012)The more contagion effect on …Financial contagion and the real economy (2011)Financial contagion and the r…Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets (2011)Dynamic correlation analysis …Financial crises and stock market contagion in a multivariate time-varying asymmetric framework (2010)Financial crises and stock ma…Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Dynamic correlation analysis …How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices (2006)How Do Crises Spread? Evidenc…A Primer on Financial Contagion (2003)A Primer on Financial Contagi…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…Bounds testing approaches to the analysis of level relationships (2001)Bounds testing approaches to …Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…The impact of oil and global markets on Saudi stock market predictability: A machine learning approach (2024)The impact of oil and global …How far have we come and where should we go after 30+ years of research on Africa's emerging financial markets? A systematic review and a bibliometric network analysis (2023)How far have we come and wher…The Co‐Movement between International and Emerging Stock Markets Using ANN and Stepwise Models: Evidence from Selected Indices (2022)The Co‐Movement between Inter…ICEEMDAN-Based Transfer Entropy between Global Commodity Classes and African Equities (2022)ICEEMDAN-Based Transfer Entro…Assessing interdependence and contagion effects on the bond yield and stock returns nexus in Sub-Saharan Africa: Evidence from wavelet analysis (2022)Assessing interdependence and…Economic Policy Uncertainty and Stock Returns of Africa: A Wavelet Coherence Analysis (2020)Economic Policy Uncertainty a…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The saving and investment nexus for China: evidence from cointegration tests (2005)An econometric study of CO2 emissions, energy consumption, income and foreign trade in Turkey (2009)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)A Model of Balance-of-Payments Crises (1979)Foundations of International Macroeconomics (1997)‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion (2005)Empirical modelling of contagion: a review of methodologies (2005)Bank profitability and the business cycle (2008)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)The Econometrics of Financial Markets (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Multivariate GARCH models: a survey (2006)The Econometrics of Financial Markets (2012)Market Liquidity and Funding Liquidity (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the International Spillovers of US Quantitative Easing (2016)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Banking sector performance during the COVID-19 crisis (2021)Correlations in Price Changes and Volatility across International Stock Markets (1990)Transmission of Volatility between Stock Markets (1990)Is the correlation in international equity returns constant: 1960–1990? (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Aggregate Confusion: The Divergence of ESG Ratings (2019)An empirical analysis of herd behavior in global stock markets (2010)The COVID-19 Outbreak and Affected Countries Stock Markets Response (2020)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2001Bounds testing approaches to the analysis of level relationships21,232 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,063 cited
  • 2002Dynamic Conditional Correlation7,229 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,735 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
  • 2007Dynamic correlation analysis of financial contagion: Evidence from Asian markets913 cited
  • 2014The Global Crisis and Equity Market Contagion720 cited
  • 2003A Primer on Financial Contagion703 cited
  • 2006How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices429 cited
  • 2010Financial crises and stock market contagion in a multivariate time-varying asymmetric framework424 cited
  • 2011Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets396 cited
  • 2013Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach368 cited

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2011
Financial contagion and the real economy
341 cited
  • 2012The more contagion effect on emerging markets: The evidence of DCC-GARCH model285 cited
  • Cited by

    • 2020Economic Policy Uncertainty and Stock Returns of Africa: A Wavelet Coherence Analysis82 cited
    • 2024The impact of oil and global markets on Saudi stock market predictability: A machine learning approach48 cited
    • 2022Assessing interdependence and contagion effects on the bond yield and stock returns nexus in Sub-Saharan Africa: Evidence from wavelet analysis38 cited
    • 2022ICEEMDAN-Based Transfer Entropy between Global Commodity Classes and African Equities24 cited
    • 2022The Co‐Movement between International and Emerging Stock Markets Using ANN and Stepwise Models: Evidence from Selected Indices21 cited
    • 2023How far have we come and where should we go after 30+ years of research on Africa's emerging financial markets? A systematic review and a bibliometric network analysis15 cited