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Does the US-China trade war affect co-movements between US and Chinese stock markets?
16 references·7 citing·33 second hop
Does the US-China trade war affect co-movements between US and Chinese stock markets? (2021)Does the US-China trade war affect co-mov…Evaluating the Impact of the US–China Trade War (2019)Evaluating the Impact of the …Economic Impacts of the Possible China–US Trade War (2018)Economic Impacts of the Possi…Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets (2014)Modelling Volatility Spillove…Co-movements of GCC emerging stock markets: New evidence from wavelet coherence analysis (2013)Co-movements of GCC emerging …The more contagion effect on emerging markets: The evidence of DCC-GARCH model (2012)The more contagion effect on …Stories of the Twentieth Century for the Twenty-First (2012)Stories of the Twentieth Cent…Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Dynamic correlation analysis …A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Information and Volatility: T…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…US–China trade war and key digital technology innovation of Chinese enterprises (2024)US–China trade war and key di…Impact of trade frictions on economic costs and financial risks (2024)Impact of trade frictions on …Dynamic spillover between green cryptocurrencies and stocks: A portfolio implication (2024)Dynamic spillover between gre…Risk spillovers connectedness between the US Fintech industry VaR, behavioral biases and macroeconomic instability factors: COVID-19 implications (2023)Risk spillovers connectedness…Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict (2023)Higher-order moment risk conn…Exploring Bubbles in the Digital Economy: The Case of China (2023)Exploring Bubbles in the Digi…What influences stock market co-movements between China and its Asia-Pacific trading partners after the Global Financial Crisis? (2022)What influences stock market …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)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)A Capital Asset Pricing Model with Time-Varying Covariances (1988)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)The external wealth of nations mark II: Revised and extended estimates of foreign assets and liabilities, 1970–2004 (2007)This Time Is Different (2009)Public debt and growth: Heterogeneity and non-linearity (2015)Macroprudential Policy, Countercyclical Bank Capital Buffers, and Credit Supply: Evidence from the Spanish Dynamic Provisioning Experiments (2017)Exchange Arrangements Entering the Twenty-First Century: Which Anchor will Hold?* (2019)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Transactions, Volume, and Volatility (1994)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Theory of rational option pricing (2005)Comparing Predictive Accuracy (1994)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)An empirical analysis of herd behavior in global stock markets (2010)Financial crises and stock market contagion in a multivariate time-varying asymmetric framework (2010)The COVID-19 Outbreak and Affected Countries Stock Markets Response (2020)Econometric Analysis of Cross Section and Panel Data (2001)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Volatility forecast comparison using imperfect volatility proxies (2010)Financial time series forecasting model based on CEEMDAN and LSTM (2018)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
  • 2003Forecasting Volatility in Financial Markets: A Review1,373 cited
  • 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy1,047 cited
  • 2007Dynamic correlation analysis of financial contagion: Evidence from Asian markets896 cited
  • 2012Stories of the Twentieth Century for the Twenty-First848 cited
  • 2003Forecasting Volatility in Financial Markets: A Review800 cited
  • 2012The more contagion effect on emerging markets: The evidence of DCC-GARCH model278 cited
  • 2014Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets268 cited
  • 2013Co-movements of GCC emerging stock markets: New evidence from wavelet coherence analysis

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239 cited
  • 2019Evaluating the Impact of the US–China Trade War230 cited
  • 2018Economic Impacts of the Possible China–US Trade War229 cited
  • Cited by

    • 2023Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict119 cited
    • 2023Exploring Bubbles in the Digital Economy: The Case of China48 cited
    • 2022What influences stock market co-movements between China and its Asia-Pacific trading partners after the Global Financial Crisis?36 cited
    • 2023Risk spillovers connectedness between the US Fintech industry VaR, behavioral biases and macroeconomic instability factors: COVID-19 implications27 cited
    • 2024Dynamic spillover between green cryptocurrencies and stocks: A portfolio implication25 cited
    • 2024Impact of trade frictions on economic costs and financial risks12 cited
    • 2024US–China trade war and key digital technology innovation of Chinese enterprises7 cited