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Volatility spillovers between the Chinese and world equity markets
14 references·16 citing·33 second hop
Volatility spillovers between the Chinese and world equity markets (2011)Volatility spillovers between the Chinese…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)Volatility spillover effects …Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Emerging equity market volatility (1997)Emerging equity market volati…Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Time-Varying World Market Integration (1995)Time-Varying World Market Int…Volatility and Links between National Stock Markets (1994)Volatility and Links between …Volatiltiy and Links Between National Stock Markets (1990)Volatiltiy and Links Between …Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…International Transmission of Stock Market Movements (1989)International Transmission of…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …Frequency spillovers, connectedness, and the hedging effectiveness of oil and gold for US sector ETFs (2021)Frequency spillovers, connect…Dynamic spillovers between energy and stock markets and their implications in the context of COVID-19 (2021)Dynamic spillovers between en…Analyzing time-varying volatility spillovers between the crude oil markets using a new method (2020)Analyzing time-varying volati…Dynamic spillovers and connectedness between stock, commodities, bonds, and VIX markets (2019)Dynamic spillovers and connec…Asymmetric volatility spillovers between oil and stock markets: Evidence from China and the United States (2019)Asymmetric volatility spillov…Volatility connectedness in the Chinese banking system: Do state-owned commercial banks contribute more? (2018)Volatility connectedness in t…The dynamic spillover between carbon and energy markets: New evidence (2018)The dynamic spillover between…Network connectedness and net spillover between financial and commodity markets (2018)Network connectedness and net…Oil indexation, market fundamentals, and natural gas prices: An investigation of the Asian premium in natural gas trade (2017)Oil indexation, market fundam…Are Islamic indexes a safe haven for investors? An analysis of total, directional and net volatility spillovers between conventional and Islamic indexes and importance of crisis periods (2017)Are Islamic indexes a safe ha…Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect (2016)Return and volatility spillov…Testing the Conventional and Islamic Financial Market Contagion: Evidence from Wavelet Analysis (2015)Testing the Conventional and …The global financial crisis: An analysis of the spillover effects on African stock markets (2014)The global financial crisis: …Return and volatility spillovers between china and world oil markets (2014)Return and volatility spillov…How strong is the linkage between tourism and economic growth in Europe? (2014)How strong is the linkage bet…Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries (2012)Dynamic spillovers between oi…Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Macroeconomics and Reality (1980)Dynamic Conditional Correlation (2002)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)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)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Common stochastic trends in international stock markets (1992)A New Approach to Measuring Financial Contagion (2003)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)The robustness of identified VAR conclusions about money (1998)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)International Asset Allocation With Regime Shifts (2002)Does financial liberalization spur growth? (2005)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric correlations of equity portfolios (2002)Individualism and Momentum around the World (2010)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)Extreme Correlation of International Equity Markets (2001)
this work references cited by second hop

References

  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1997Emerging equity market volatility1,703 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1990Volatiltiy and Links Between National Stock Markets709 cited
  • 1994Volatility and Links between National Stock Markets679 cited
  • 2000Volatility spillover effects from Japan and the US to the Pacific–Basin670 cited
  • 1995Time-Varying World Market Integration594 cited

Cited by

  • 2012Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries

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347 cited
  • 2018The dynamic spillover between carbon and energy markets: New evidence268 cited
  • 2014How strong is the linkage between tourism and economic growth in Europe?240 cited
  • 2019Asymmetric volatility spillovers between oil and stock markets: Evidence from China and the United States220 cited
  • 2020Analyzing time-varying volatility spillovers between the crude oil markets using a new method206 cited
  • 2021Dynamic spillovers between energy and stock markets and their implications in the context of COVID-19183 cited
  • 2018Network connectedness and net spillover between financial and commodity markets182 cited
  • 2017Oil indexation, market fundamentals, and natural gas prices: An investigation of the Asian premium in natural gas trade139 cited
  • 2016Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect138 cited
  • 2017Are Islamic indexes a safe haven for investors? An analysis of total, directional and net volatility spillovers between conventional and Islamic indexes and importance of crisis periods131 cited
  • 2014The global financial crisis: An analysis of the spillover effects on African stock markets124 cited
  • 2015Testing the Conventional and Islamic Financial Market Contagion: Evidence from Wavelet Analysis113 cited
  • 2021Frequency spillovers, connectedness, and the hedging effectiveness of oil and gold for US sector ETFs112 cited
  • 2014Return and volatility spillovers between china and world oil markets109 cited
  • 2018Volatility connectedness in the Chinese banking system: Do state-owned commercial banks contribute more?107 cited
  • 2019Dynamic spillovers and connectedness between stock, commodities, bonds, and VIX markets102 cited