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Correlations and volatility spillovers between China and Southeast Asian stock markets
16 references·4 citing·41 second hop
Correlations and volatility spillovers between China and Southeast Asian stock markets (2021)Correlations and volatility spillovers be…Financial cointegration and spillover effect of global financial crisis: a study of emerging Asian financial markets (2019)Financial cointegration and s…Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed- t density approach (2017)Stock markets volatility spil…Does volatility spillover among stock markets varies from normal to turbulent periods? Evidence from emerging markets of Asia (2017)Does volatility spillover amo…Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis (2015)Stock market volatility spill…Dynamic Asian stock market convergence: Evidence from dynamic cointegration analysis among China and ASEAN-5 (2015)Dynamic Asian stock market co…Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC markets (2013)Contagion, decoupling and the…Return and Volatility Spillovers Among Asian Stock Markets (2011)Return and Volatility Spillov…Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Correlations and volatility s…Volatility Spillovers between the US and China Stock Markets: Structural Break Test with Symmetric and Asymmetric GARCH Approaches (2010)Volatility Spillovers between…Dynamic Linkages Between the Greater China Economic Area Stock Markets—Mainland China, Hong Kong, and Taiwan (2005)Dynamic Linkages Between the …Spillovers of stock return volatility to Asian equity markets from Japan and the US (2003)Spillovers of stock return vo…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…International Transmission of Stock Market Movements (1989)International Transmission of…Extreme risk spillovers among traditional financial and FinTech institutions: A complex network perspective (2023)Extreme risk spillovers among…An analysis of stock markets integration and dynamics of volatility spillover in emerging nations (2023)An analysis of stock markets …Volatility spillovers from the Chinese stock market to the U.S. stock market: The role of the COVID-19 pandemic (2022)Volatility spillovers from th…Analysis of connectivity between the world’s banking markets: The COVID-19 global pandemic shock (2022)Analysis of connectivity betw…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Directional spillover effects between ASEAN and world stock markets (2019)Stock market integration in East and Southeast Asia: The role of global factors (2019)Fundamental and behavioural determinants of stock return volatility in ASEAN-5 countries (2020)Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Global financial crisis and emerging stock market contagion: A volatility impulse response function approach (2015)Dynamic network of implied volatility transmission among US equities, strategic commodities, and BRICS equities (2018)Revisiting oil-stock nexus during COVID-19 pandemic: Some preliminary results (2020)Multivariate GARCH models: a surveyCorrelations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)Conditional 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)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Testing for a Unit Root in Time Series Regression (1988)Financial contagion during COVID–19 crisis (2020)A Capital Asset Pricing Model with Time-Varying Covariances (1988)International linkages of the Chinese stock exchanges: a multivariate GARCH analysis (2007)Price and volatility spillovers across North American, European and Asian stock markets (2009)Network connectedness and net spillover between financial and commodity markets (2018)Macroeconomics and Reality (1980)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)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)The Cross‐Section of Volatility and Expected Returns (2006)Geopolitical risk and renewable energy stock markets: An insight from multiscale dynamic risk spillover (2020)The impact of COVID-19 pandemic upon stability and sequential irregularity of equity and cryptocurrency markets (2020)Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter? (2021)
this work references cited by second hop

References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 2011Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies877 cited
  • 2015Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis206 cited
  • 2003Spillovers of stock return volatility to Asian equity markets from Japan and the US195 cited
  • 2013Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC markets192 cited
  • 2015Dynamic Asian stock market convergence: Evidence from dynamic cointegration analysis among China and ASEAN-5125 cited
  • 2019Financial cointegration and spillover effect of global financial crisis: a study of emerging Asian financial markets113 cited
  • 2017Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed- t density approach104 cited
  • 2017Does volatility spillover among stock markets varies from normal to turbulent periods? Evidence from emerging markets of Asia94 cited
  • 2005

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Dynamic Linkages Between the Greater China Economic Area Stock Markets—Mainland China, Hong Kong, and Taiwan
87 cited
  • 2011Return and Volatility Spillovers Among Asian Stock Markets81 cited
  • 2010Volatility Spillovers between the US and China Stock Markets: Structural Break Test with Symmetric and Asymmetric GARCH Approaches78 cited
  • Cited by

    • 2022Volatility spillovers from the Chinese stock market to the U.S. stock market: The role of the COVID-19 pandemic51 cited
    • 2023Extreme risk spillovers among traditional financial and FinTech institutions: A complex network perspective51 cited
    • 2023An analysis of stock markets integration and dynamics of volatility spillover in emerging nations39 cited
    • 2022Analysis of connectivity between the world’s banking markets: The COVID-19 global pandemic shock30 cited