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Information leadership in the advanced Asia–Pacific stock markets: Return, volatility and volume information spillovers from the US and Japan

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References

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2002The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence372 cited

Cited by

2006Intra- and inter-regional spillovers between emerging capital markets around the world93 cited
2017Market integration and financial linkages among stock markets in Pacific Basin countries84 cited
2021Is volatility spillover enough for investor decisions? A new viewpoint from higher moments77 cited
2008Does the Stock Market in India Move with Asia?: A Multivariate Cointegration-Vector Autoregression Approach77 cited
2018Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach66 cited
2007Causal and Dynamic Relationships among Stock Returns, Return Volatility and Trading Volume: Evidence from Emerging markets in South-East Asia57 cited
2013Internal and external spillover effects for the BRIC countries: Multivariate GARCH-in-mean approach51 cited
2016Country ETF returns and volatility spillovers in emerging stock markets, Europe and USA50 cited
2015Financial integration in emerging market economies: Effects on volatility transmission and contagion46 cited
2005Volatility Transmission Models: A Survey46 cited
2015Financial Crisis and Contagion Effects to Indian Stock Market: ‘DCC–GARCH’ Analysis44 cited
2012The impact of China's stock market reforms on its international stock market linkages40 cited
2016An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries39 cited
2014Illiquidity, return and risk in G7 stock markets: Interdependencies and spillovers32 cited
2013Is the Indian stock market cointegrated with other Asian markets?32 cited
2012DYNAMIC STOCK RETURN–VOLUME RELATION: EVIDENCE FROM EMERGING ASIAN MARKETS32 cited