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Unveiling Market Connectedness: Dynamic Returns Spillovers in Asian Emerging Stock Markets
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Unveiling Market Connectedness: Dynamic Returns Spillovers in Asian Emerging Stock Markets (2023)Unveiling Market Connectedness: Dynamic R…Dynamic spillovers between energy and stock markets and their implications in the context of COVID-19 (2021)Dynamic spillovers between en…Network analysis of global stock markets at the beginning of the coronavirus disease (Covid-19) outbreak (2020)Network analysis of global st…Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Measuring the Frequency Dynam…Regulating capital flows to emerging markets: An externality view (2017)Regulating capital flows to e…Integration of 22 emerging stock markets: A three-dimensional analysis (2012)Integration of 22 emerging st…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…Volatility Spillover Effects in European Equity Markets (2005)Volatility Spillover Effects …No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Economic determinants of emerging stock market interdependence (2002)Economic determinants of emer…Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)Volatility spillover effects …Volatility spillovers across equity markets: European evidence (1998)Volatility spillovers across …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…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…Portfolio Selection (1952)Portfolio SelectionMacroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Dynamic Conditional Correlation (2002)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Are Financial Assets Priced Locally or Globally? (2002)Financial market integration in Europe: on the effects of EMU on stock markets (2002)Portfolio Selection: Efficient Diversification of Investments (1959)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Adjustment of Stock Prices to New Information (2003)The Behavior of Stock-Market Prices (1965)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)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Characterizing World Market Integration through Time (2007)CISS - A Composite Indicator of Systemic Stress in the Financial System (2010)Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011)The robustness of identified VAR conclusions about money (1998)Extreme Correlation of International Equity Markets (2001)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)
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References

  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 1952Portfolio Selection4,609 cited
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  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*1,790 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 2000Volatility spillover effects from Japan and the US to the Pacific–Basin670 cited
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  • 2021Dynamic spillovers between energy and stock markets and their implications in the context of COVID-19183 cited
  • 1998Volatility spillovers across equity markets: European evidence181 cited
  • 2017Regulating capital flows to emerging markets: An externality view179 cited
  • 2012Integration of 22 emerging stock markets: A three-dimensional analysis

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  • 2020Network analysis of global stock markets at the beginning of the coronavirus disease (Covid-19) outbreak140 cited
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