Correlations in price changes and volatility across international stock markets
Hamao, Yasushi, Masulis, Ronald W., Ng, Victor·1990·Review of Financial Studies
Cited by (1,000)
Items 101–200 of 1,000
- Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysisJohn Beirne, Guglielmo Maria Caporale, Marianne Schulze‐Ghattas, Nicola Spagnolo · 2010 · Emerging Markets Review
- The global financial crisis, financial linkages and correlations in returns and volatilities in emerging MENA stock marketsSimon Neaime · 2012 · Emerging Markets Review
- International equity market comovements: Economic fundamentals or contagion?Robert A. Connolly, F.Albert Wang · 2003 · Pacific-Basin Finance Journal
- Volatility transmission in the oil and natural gas marketsBradley T. Ewing, Farooq Malik, Ozkan Ozfidan · 2002 · Energy Economics
- The dilution impact of daily fund flows on open-end mutual fundsJason T. Greene, Charles W. Hodges · 2002 · Journal of Financial Economics
- Asymmetric Predictability of Conditional VariancesJENNIFER S. CONRAD, Mustafa N. Gultekin, Gautam Kaul · 1991 · Review of Financial Studies
- Asset Market Linkages in Crisis PeriodsP. Hartmann, Stefan T.M. Straetmans, Casper G. de Vries · 2004 · The Review of Economics and Statistics
- MODELING THE DYNAMIC INTERDEPENDENCE OF MAJOR EUROPEAN STOCK MARKETSGregory Koutmos · 1996 · Journal of Business Finance & Accounting
- Another Look at the Role of the Industrial Structure of Markets for International Diversification StrategiesJohn M. Griffin, George Andrew Karolyi · 1996 · SSRN Electronic Journal
- Is VIX an investor fear gauge in BRIC equity markets?Ghulam Sarwar · 2012 · Journal of Multinational Financial Management
- Spillover effects of the U.S. financial crisis on financial markets in emerging Asian countriesBong-Han Kim, Hyeongwoo Kim, Bong‐Soo Lee · 2015 · International Review of Economics & Finance
- Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC marketsStelios D. Bekiros · 2013 · International Review of Financial Analysis
- Does International Financial Contagion Really Exist?George Andrew Karolyi · 2003 · International Finance
- Multivariate Modeling of Daily REIT VolatilityJohn Cotter, Simon Stevenson · 2006 · The Journal of Real Estate Finance and Economics
- Volatility spillovers across equity markets: European evidenceAngelos Kanas · 1998 · Applied Financial Economics
- A study of cointegration and variance decomposition among national equity indices before and during the period of the Asian financial crisisHsiao-Ching Sheng, Anthony H. Tu · 2000 · Journal of Multinational Financial Management
- Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?Wasim Ahmad, Sanjay Sehgal, N.R. Bhanumurthy · 2013 · Economic Modelling
- Are correlations of stock returns justified by subsequent changes in national outputs?Bernard Dumas, Campbell R. Harvey, Pierre Ruiz · 2003 · Journal of International Money and Finance
- A Practical Guide to Forecasting Financial Market VolatilitySer‐Huang Poon · 2005
- The Dynamics of Discrete Bid and Ask QuotesJoel Hasbrouck · 1999 · The Journal of Finance
- Contagion in financial markets after September 11: myth or reality?Mark T. Hon, Jack Strauss, Soo Keong Yong · 2004 · The Journal of Financial Research
- Asymmetric spillover and network connectedness between gold, BRENT oil and EU subsector marketsWalid Mensi, Imran Yousaf, Xuan Vinh Vo, Sang Hoon Kang · 2021 · Journal of International Financial Markets Institutions and Money
- Interdependence between Eastern and Western European stock markets: Evidence from intraday dataBalázs Égert, Evžen Kočenda A · 2007 · Economic Systems
- Contagion and banking crisis – International evidence for 2007–2009Mardi H. Dungey, Dinesh Prasad Gajurel · 2015 · Journal of Banking & Finance
- Spillover effects in energy futures marketsSharon Xiaowen Lin, Michael N. Tamvakis · 2001 · Energy Economics
- Stock market interdependencies: Evidence from the asian NIEsAbdur Chowdhury · 1994 · Journal of Macroeconomics
- Multivariate GARCH modeling of sector volatility transmissionSyed Aun Hassan, Farooq Malik · 2007 · The Quarterly Review of Economics and Finance
- Asset Fire Sales and Purchases and the International Transmission of Funding ShocksPab Jotikasthira, CHRISTIAN T. LUNDBLAD, Tarun Ramadorai · 2011 · SSRN Electronic Journal
- The co-movement of stock markets in East AsiaNancy Huyghebaert, Lihong Wang · 2009 · China Economic Review
- Transmission of the Financial and Sovereign Debt Crises to the EMU: Stock Prices, CDS Spreads and Exchange RatesTheoharry Grammatikos, Robert Vermeulen · 2011 · Journal of International Money and Finance
- Global Financial Markets and the Risk Premium on U.S. EquityK.C. Chan, George Andrew Karolyi, René M. Stulz · 1992 · National Bureau of Economic Research
- Geopolitical Risks, Returns, and Volatility in Emerging Stock Markets: Evidence from a Panel GARCH ModelChristos Bouras, Christina Christou, Rangan Gupta, Muhammad Tahir Suleman · 2018 · Emerging Markets Finance and Trade
- Global Crises and Equity Market ContagionGeert Bekaert A, Michael Ehrmann, Marcel Fratzscher, Arnaud Mehl · 2011 · SSRN Electronic Journal
- Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market IntegrationJohn Y. Campbell, Yasushi Hamao · 1992 · The Journal of Finance
- Large shocks and the September 11th terrorist attacks on international stock marketsAmélie Charles, Olivier Darné · 2006 · Economic Modelling
- The "Big C": Identifying ContagionKristin J. Forbes · 2012 · National Bureau of Economic Research
- Interconnectedness in the Global Financial MarketMatthias Raddant, Dror Y. Kenett · 2016 · Journal of International Money and Finance
- Asian Economic Integration and Stock Market ComovementRobert R. Johnson, Luc A. Soenen · 2002 · The Journal of Financial Research
- Return and volatility transmission between oil prices and oil-exporting and oil-importing countriesKhaled Guesmi, Salma Fattoum · 2014 · Economic Modelling
- Global financial crisis and emerging stock market contagion: A volatility impulse response function approachXiaoye Jin, Ximeng An · 2015 · Research in International Business and Finance
- Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial TransmissionMichael Ehrmann, Roberto Rigobon B C, Marcel Fratzscher · 2005 · SSRN Electronic Journal
- Economic news and equity market linkages between the U.S. and U.K.Kent G. Becker, Joseph E. Finnerty, Joseph Friedman · 1995 · Journal of Banking & Finance
- Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence?Robert C. Jung, Robert Maderitsch · 2014 · Journal of Banking & Finance
- Measurement of contagion in banks’ equity pricesReint Gropp, Gerard A. Moerman · 2004 · Journal of International Money and Finance
- Volatility Spillovers and Contagion from Mature to Emerging Stock MarketsJohn Beirne, Guglielmo Maria Caporale, Marianne Schulze‐Ghattas, Nicola Spagnolo · 2009 · SSRN Electronic Journal
- Coexceedances in financial markets—a quantile regression analysis of contagionDirk G. Baur, Niels Schulze · 2005 · Emerging Markets Review
- International transmission of stock market movements: a wavelet analysisHahn Shik Lee · 2004 · Applied Economics Letters
- Price discovery in the hang seng index markets: Index, futures, and the tracker fundRaymond W. So, Yiuman Tse · 2004 · Journal of Futures Markets
- Stock market integration and volatility spillover: India and its major Asian counterpartsKedar Nath Mukherjee, Ram Kumar Mishra · 2010 · Research in International Business and Finance
- A New Approach to Measuring Financial ContagionKee‐Hong Bae, George Andrew Karolyi, René M. Stulz · 2000 · SSRN Electronic Journal
- Volatility transmission and financial crisesGuglielmo Maria Caporale, Nikitas Pittis B, Nicola Spagnolo · 2006 · Journal of Economics and Finance
- Temporal and Spatial Information Diffusion in Real Estate Price Changes and VariancesWalter Dolde, Doğan Tırtıroğlu · 1997 · Real Estate Economics
- Volatility Spillovers and Contagion from Mature to Emerging Stock MarketsJohn Beirne, Guglielmo Maria Caporale, Marianne Schulze‐Ghattas, Nicola Spagnolo · 2013 · Review of International Economics
- Do Asian stock market prices follow random walks? Evidence from the variance ratio testBwo‐Nung Huang · 1995 · Applied Financial Economics
- Understanding stock market volatility: What is the role of U.S. uncertainty?Zhi Su, Tong Fang, Libo Yin · 2018 · The North American Journal of Economics and Finance
- Equity market contagion during the global financial crisis: Evidence from the world's eight largest economiesMardi H. Dungey, Dinesh Prasad Gajurel · 2014 · Economic Systems
- Asymmetric Volatility and Risk in Equity MarketsGeert Bekaert A, Guojun Wu · 1997 · National Bureau of Economic Research
- Does Financial News Predict Stock Returns? New Evidence from Islamic and Non-Islamic StocksParesh Kumar Narayan, Deepa Bannigidadmath · 2015 · Pacific-Basin Finance Journal
- Economic integration and stock market comovement in the AmericasRobert R. Johnson, Luc A. Soenen · 2002 · Journal of Multinational Financial Management
- RANDOM WALK TESTS FOR LATIN AMERICAN EQUITY INDEXES AND INDIVIDUAL FIRMSTerrance Grieb, Mario G. C. Reyes · 1999 · The Journal of Financial Research
- Co-Movements of European Equity Markets Before and After the 1987 Crashİlhan Meriç, Gülser Meriç · 1997 · Multinational Finance Journal
- Cross-market linkages between U.S. and Japanese precious metals futures tradingXiaoqing Eleanor Xu, Hung‐Gay Fung · 2004 · Journal of International Financial Markets Institutions and Money
- Volatility Spillovers, Comovements and Contagion in Securitized Real Estate MarketsMartin Edward Ralph Hoesli, Kustrim Reka · 2011 · The Journal of Real Estate Finance and Economics
- Market Integration and ContagionGeert Bekaert A, Campbell R. Harvey · 2003 · National Bureau of Economic Research
- Modeling Financial Contagion Using Mutually Exciting Jump ProcessesYacine Aı̈t-Sahalia, Julio Cacho-Diaz, Roger J. A. Laeven · 2010 · National Bureau of Economic Research
- Stock market volatility and business cycle: Evidence from linear and nonlinear causality testsTaufiq Choudhry, Fotios I. Papadimitriou, Sarosh Shabi · 2016 · Journal of Banking & Finance
- Euro area government bonds – Fragmentation and contagion during the sovereign debt crisisMichael Ehrmann, Marcel Fratzscher · 2016 · Journal of International Money and Finance
- Asymmetry in return and volatility spillover between equity and bond markets in AustraliaWarren G. Dean, Robert W. Faff, Geoffrey F. Loudon · 2010 · Pacific-Basin Finance Journal
- World Market Risk, Country-Specific Risk and Expected Returns in International Stock MarketsTuran G. Bali, Nusret Cakici · 2009 · Journal of Banking & Finance
- Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed StocksLouis Joseph Gagnon, George Andrew Karolyi · 2009 · Journal of Financial and Quantitative Analysis
- East Asia and Europe during the 1997 Asian collapse: a clinical study of a financial crisisRajesh Chakrabarti, Richard W. Roll · 2002 · Journal of Financial Markets
- Volatility and price change spillover effects across the developed and emerging marketsK.C. John Wei, Yu-Jane Liu, Chau-Chen Yang, Guey-Shiang Chaung · 1995 · Pacific-Basin Finance Journal
- Testing for volatility interactions in the Constant Conditional Correlation GARCH modelTomoaki Nakatani, Timo Teräsvirta Y · 2009 · Econometrics Journal
- Investor Attention and Time‐varying ComovementsLin Peng, Wei A. Xiong, Tim Bollerslev · 2007 · European Financial Management
- Effective drifts in dynamical systems with multiplicative noise: a review of recent progressGiovanni Volpe, Jan Wehr · 2016 · Reports on Progress in Physics
- Correlation in price changes and volatility of major Latin American stock marketsAndreas C. Christofi, Andreas Pericli · 1999 · Journal of Multinational Financial Management
- International portfolio diversification to Central European stock marketsTheodore C. Syriopoulos · 2004 · Applied Financial Economics
- Volatility spillovers and dynamic correlation in European bond marketsVasiliki D. Skintzi, Apostolos N. Refenes · 2005 · Journal of International Financial Markets Institutions and Money
- Financial cointegration and spillover effect of global financial crisis: a study of emerging Asian financial marketsSaqib Gulzar, Ghulam Mujtaba, Hui Xiaofeng, Usman Ayub, Amir Rafique · 2019 · Economic Research-Ekonomska Istraživanja
- Volatility and shocks spillover before and after EMU in European stock marketsMonica Billio, Loriana Pelizzon · 2003 · Journal of Multinational Financial Management
- Global Crises and Equity Market ContagionGeert Bekaert A, Michael Ehrmann, Marcel Fratzscher, Arnaud Mehl · 2011 · SSRN Electronic Journal
- Asian Economic Integration and Stock Market ComovementLuc A. Soenen, Robert R. Johnson · 2001 · SSRN Electronic Journal
- Bank fragility and contagion: Evidence from the bank CDS marketLaura Ballester, Barbara Casu, Ana González‐Urteaga · 2016 · Journal of Empirical Finance
- Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold modelCathy W. S. Chen, Thomas Chi-Nan Chiang, Mike K. P. So · 2003 · Journal of Economics and Business
- Interest-Rate Volatility in Emerging MarketsSebastián Edwards, Raúl Susmel · 2003 · The Review of Economics and Statistics
- The interaction and volatility asymmetry of unexpected returns in the greater China stock marketsYin‐Hua Yeh, Tsun‐Siou Lee · 2000 · Global Finance Journal
- Forecasting volatility in the Singapore stock marketTse Yiu Kuen, Tung Siew Hoong · 1992 · Asia Pacific Journal of Management
- Effects of macroeconomic variables on Istanbul stock exchange indexesCumhur Erdem, Cem Kaan Arslan, Meziyet Sema Erdem · 2005 · Applied Financial Economics
- An Examination of Volatility Spillovers in REIT ReturnsSimon Stevenson · 2002 · Journal of Real Estate Portfolio Management
- The Integration of World Capital MarketsMichael L. Mussa · 1993 · SSRN Electronic Journal
- Determinants of stock market comovements among US and emerging economies during the US financial crisisEugene Hwang, Hong Ghi Min, Bong-Han Kim, Hyeongwoo Kim · 2013 · Economic Modelling
- Return and volatility linkages between the US and the German stock marketDirk G. Baur, Robert C. Jung · 2006 · Journal of International Money and Finance
- Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in varianceBradley T. Ewing, Farooq Malik · 2005 · Journal of Banking & Finance
- Information leadership in the advanced Asia–Pacific stock markets: Return, volatility and volume information spillovers from the US and JapanSuk‐Joong Kim · 2004 · Journal of the Japanese and International Economies
- The Impact of Natural Disasters on Stock Markets: Evidence from Japan and the USLin Wang, Ali M. Kutan · 2013 · Comparative Economic Studies
- Contagion in the stock markets: The Asian financial crisis revisitedSaleheen Khan, Kwang Woo Park · 2009 · Journal of Asian Economics
- International stock price spillovers and market liberalization: Evidence from Korea, Japan, and the United StatesSang Woon Kim, John Harold Rogers · 1995 · Journal of Empirical Finance
- Propagative causal price transmission among international stock markets: evidence from the pre- and postglobalization periodMansur Masih, Rumi Masih · 2002 · Global Finance Journal
- Does Emerging Market Exchange Risk Affect Global Equity Prices?Francesca Carrieri, Vihang R. Errunza, Basma Majerbi · 2006 · Journal of Financial and Quantitative Analysis
- Asymmetric Volatility, Correlation and Returns Dynamics Between the U.S. and U.K. Securitized Real Estate MarketsDavid Michayluk, Patrick Wilson, Ralf Zurbruegg · 2006 · Real Estate Economics