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Stock market linkages in emerging markets: implications for international portfolio diversification
16 references·16 citing·34 second hopsampled
Stock market linkages in emerging markets: implications for international portfolio diversification (2004)Stock market linkages in emerging markets…Foreign Speculators and Emerging Equity Markets (2000)Foreign Speculators and Emerg…Some tests for parameter constancy in cointegrated VAR‐models (1999)Some tests for parameter cons…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION (1993)FINITE‐SAMPLE SIZES OF JOHANS…Common stochastic trends in international stock markets (1992)Common stochastic trends in i…A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)A Note with Quantiles of the …Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Stock Returns and Real Activity: A Century of Evidence (1990)Stock Returns and Real Activi…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…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…International Transmission of Stock Market Movements (1989)International Transmission of…Testing for Common Trends (1988)Testing for Common TrendsStatistical analysis of cointegration vectors (1988)Statistical analysis of coint…International Diversification of Investment Portfolios (1970)International Diversification…Understanding international stock market comovements: A comparison of developed and emerging markets (2017)Understanding international s…Financial contagion and volatility spillover: An exploration into Indian commodity derivative market (2017)Financial contagion and volat…Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence? (2013)Eurozone crisis and BRIICKS s…Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC markets (2013)Contagion, decoupling and the…Literature review of stock market integration: a global perspective (2012)Literature review of stock ma…Forecasting changes in Korea Composite Stock Price Index (KOSPI) using association rules (2011)Forecasting changes in Korea …Structural change and international stock market interdependence: Evidence from Asian emerging markets (2009)Structural change and interna…International stock market linkages: Evidence from Latin America (2009)International stock market li…German, US and Central and Eastern European Stock Market Integration (2009)German, US and Central and Ea…Dynamic linkages between Thai and international stock markets (2008)Dynamic linkages between Thai…Dynamic correlations and volatility effects in the Balkan equity markets (2008)Dynamic correlations and vola…The financial integration of China: New evidence on temporally aggregated data for the A-share market (2007)The financial integration of …The Efficiency of Emerging Stock Markets: Empirical Evidence from the South Asian Region (2007)The Efficiency of Emerging St…Common stochastic trends among Far East stock prices: Effects of the Asian financial crisis (2007)Common stochastic trends amon…Global and regional integration of the Middle East and North African (MENA) stock markets (2006)Global and regional integrati…Characteristics of permanent and transitory returns in oil-sensitive emerging stock markets: The case of GCC countries (2005)Characteristics of permanent …Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)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)Multivariate Simultaneous Generalized ARCH (1995)Emerging equity market volatility (1997)International Asset Allocation With Regime Shifts (2002)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Trends and random walks in macroeconmic time series (1982)A PANIC Attack on Unit Roots and Cointegration (2004)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Transmission of Volatility between Stock Markets (1990)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)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)Does financial liberalization spur growth? (2005)On the Impossibility of Informationally Efficient Markets (1980)Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices (2000)Asymmetric correlations of equity portfolios (2002)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework (1998)Trying to Explain Home Bias in Equities and Consumption (1999)Competition and Financial Stability (2004)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1988Testing for Common Trends1,894 cited
  • 2000Foreign Speculators and Emerging Equity Markets1,868 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1993FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION1,206 cited
  • 1970International Diversification of Investment Portfolios1,130 cited
  • 1992Common stochastic trends in international stock markets944 cited
  • 1990Stock Returns and Real Activity: A Century of Evidence

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733 cited
  • 1999Some tests for parameter constancy in cointegrated VAR‐models617 cited
  • Cited by

    • 2013Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC markets192 cited
    • 2013Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?177 cited
    • 2006Global and regional integration of the Middle East and North African (MENA) stock markets146 cited
    • 2017Financial contagion and volatility spillover: An exploration into Indian commodity derivative market111 cited
    • 2009International stock market linkages: Evidence from Latin America103 cited
    • 2005Characteristics of permanent and transitory returns in oil-sensitive emerging stock markets: The case of GCC countries91 cited
    • 2008Dynamic correlations and volatility effects in the Balkan equity markets82 cited
    • 2007Common stochastic trends among Far East stock prices: Effects of the Asian financial crisis77 cited
    • 2007The Efficiency of Emerging Stock Markets: Empirical Evidence from the South Asian Region70 cited
    • 2009Structural change and international stock market interdependence: Evidence from Asian emerging markets70 cited
    • 2008Dynamic linkages between Thai and international stock markets64 cited
    • 2007The financial integration of China: New evidence on temporally aggregated data for the A-share market61 cited
    • 2012Literature review of stock market integration: a global perspective55 cited
    • 2009German, US and Central and Eastern European Stock Market Integration50 cited
    • 2017Understanding international stock market comovements: A comparison of developed and emerging markets46 cited
    • 2011Forecasting changes in Korea Composite Stock Price Index (KOSPI) using association rules46 cited