Advanced Search

Citations of
Jian Yang

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

| Working papers | Articles

Working papers

  1. Hui Guo & Robert Savickas & Zijun Wang & Jian Yang, 2006. "Is value premium a proxy for time-varying investment opportunities: some time series evidence," Working Papers 2005-026, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Hui Guo & Zijun Wang & Jian Yang, 2006. "Does aggregate relative risk aversion change countercyclically over time? evidence from the stock market," Working Papers 2006-047, Federal Reserve Bank of St. Louis.
    2. Hui Guo & Robert Savickas, 2006. "The relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns in G7 countries," Working Papers 2006-036, Federal Reserve Bank of St. Louis.
    3. Hui Guo & Robert Savickas, 2006. "Aggregate idiosyncratic volatility in G7 countries," Working Papers 2004-027, Federal Reserve Bank of St. Louis.
    4. Hui Guo & Robert Savickas, 2006. "Understanding stock return predictability," Working Papers 2006-019, Federal Reserve Bank of St. Louis.
    5. Hui Guo & Christopher J. Neely, 2006. "Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model," Working Papers 2006-006, Federal Reserve Bank of St. Louis.

  2. Jian Yang & Cheng Hsiao & Qi Li & Zijun Wang, 2005. "The Emerging Market Crisis and Stock Market Linkages: Further Evidence," IEPR Working Papers 05.27, Institute of Economic Policy Research (IEPR).

    Cited by:

    1. Hsieh, Kunlin & Hsieh, Yuching & Hamori, Shigeyuki, 2010. "The interdependence of Taiwanese and Japanese stock prices," MPRA Paper 21475, University Library of Munich, Germany.
    2. Numan Ülkü, 2011. "Modeling Comovement among Emerging Stock Markets: The Case of Budapest and Istanbul," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(3), pages 277-304, July.
    3. Guidi, Francesco & Gupta, Rakesh, 2010. "Cointegration and conditional correlations among German and Eastern Europe equity markets," MPRA Paper 21732, University Library of Munich, Germany.
    4. Nistor, Costel & Stefanescu, Razvan & Dumitriu, Ramona, 2009. "The impact of the US stock market on the Romanian stock market in the context of the financial crisis," MPRA Paper 36862, University Library of Munich, Germany, revised 22 Feb 2012.
    5. Rousova, Linda, 2009. "Are the Central European Stock Markets Still Different? A Cointegration Analysis," Discussion Papers in Economics 10993, University of Munich, Department of Economics.
    6. Beirne, John & Caporale, Guglielmo Maria & Schulze-Ghattas, Marianne & Spagnolo, Nicola, 2010. "Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis," Emerging Markets Review, Elsevier, vol. 11(3), pages 250-260, September.

  3. Jian Yang & Hui Guo & Zijun Wang, 2004. "International transmission of inflation among G-7 countries: a data-determined VAR analysis," Working Papers 2004-028, Federal Reserve Bank of St. Louis.

    Cited by:

    1. Peng-fei Wang & Yi Wen, 2006. "Inflation dynamics: a cross-country investigation," Working Papers 2005-076, Federal Reserve Bank of St. Louis.
    2. Hogun Chong & Mary Zey & David A. Bessler, 2010. "On corporate structure, strategy, and performance: a study with directed acyclic graphs and PC algorithm," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 31(1), pages 47-62.
    3. Mihalicova, Xenia & Gazda, Vladimír & Kubak, Matúš & Grof, Marek, 2011. "P-Star Model under the Currency Board – The Case of Bulgaria 1997-2008," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 83-91, September.
    4. Thams, Andreas, 2007. "Inflation Transmission in the EMU: A Markov-Switching VECM Analysis," MPRA Paper 1643, University Library of Munich, Germany.

  4. Awokuse, Titus O. & Yang, Jian, 2002. "The Informational Role Of Commodity Prices In Formulating Monetary Policy: A Reexamination," Staff Papers 15834, University of Delaware, Department of Food and Resource Economics.

    Cited by:

    1. A.F.M. Kamrul Hassan & Ruhul A. Salim, 2011. "Is there any Link Between Commodity Price and Monetary Policy? Evidence from Australia," Economic Analysis and Policy (EAP), Queensland University of Technology (QUT), School of Economics and Finance, vol. 41(3), pages 205-216, December.
    2. Shigeyuki Hamori, 2007. "The information role of commodity prices in formulating monetary policy: some evidence from Japan," Economics Bulletin, AccessEcon, vol. 5(13), pages 1-7.
    3. Mihaela NICOLAU, 2010. "Financial Markets Interactions between Economic Theory and Practice," Economics and Applied Informatics, "Dunarea de Jos" University, Faculty of Economics and Business Administration, issue 2, pages 27-36.
    4. Ansgar Belke & Ingo G. Bordon & Torben W. Hendricks, 2010. "Monetary Policy, Global Liquidity and Commodity Price Dynamics," Discussion Papers of DIW Berlin 971, DIW Berlin, German Institute for Economic Research.

Articles

  1. Yang, Jian & Zhou, Yinggang & Wang, Zijun, 2009. "The stock-bond correlation and macroeconomic conditions: One and a half centuries of evidence," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 670-680, April.

    Cited by:

    1. Mihaela NICOLAU, 2010. "Financial Markets Interactions between Economic Theory and Practice," Economics and Applied Informatics, "Dunarea de Jos" University, Faculty of Economics and Business Administration, issue 2, pages 27-36.

  2. Yang, Jian & Bessler, David A., 2008. "Contagion around the October 1987 stock market crash," European Journal of Operational Research, Elsevier, vol. 184(1), pages 291-310, January.

    Cited by:

    1. Hsien-Yi Lee, 2012. "Contagion in International Stock Markets during the Sub Prime Mortgage Crisis," International Journal of Economics and Financial Issues, Econjournals, vol. 2(1), pages 41-53.

  3. Jansen, Dennis W. & Li, Qi & Wang, Zijun & Yang, Jian, 2008. "Fiscal policy and asset markets: A semiparametric analysis," Journal of Econometrics, Elsevier, vol. 147(1), pages 141-150, November.

    Cited by:

    1. Qi Gao & Jingping Gu & Paula Hernandez-Verme, 2012. "A Semiparametric Time Trend Varying Coefficients Model: With An Application to Evaluate Credit Rationing in U.S. Credit Market," Annals of Economics and Finance, Society for AEF, vol. 13(1), pages 189-210, May.
    2. Dandan Liu & Rui Li & Zijun Wang, 2011. "Testing for structural breaks in panel varying coefficient models: with an application to OECD health expenditure," Empirical Economics, Springer, vol. 40(1), pages 95-118, February.
    3. Luca Agnello & Davide Furceri & Ricardo M. Sousa, 2011. "Fiscal Policy Discretion, Private Spending, and Crisis Episodes," NIPE Working Papers 31/2011, NIPE - Universidade do Minho.
    4. Milan Nedeljkovic & Branko Urosevic, 2011. "Determinants of the Dinar-Euro Nominal Exchange Rate," Working papers 18, National Bank of Serbia.

  4. Yang, Jian & Su, Xiaojing & Kolari, James W., 2008. "Do Euro exchange rates follow a martingale? Some out-of-sample evidence," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 729-740, May.

    Cited by:

    1. Adrian Wai-Kong Cheung & Jen-Je Su & Astrophel Kim Choo, 2011. "Are Euro exchange rates markets efficient? New evidence from a large panel," Discussion Papers in Finance finance:201109, Griffith University, Department of Accounting, Finance and Economics.

  5. Tao Wang & Jian Yang & Marc W. Simpson, 2008. "U.S. Monetary Policy Surprises and Currency Futures Markets: A New Look," The Financial Review, Eastern Finance Association, vol. 43(4), pages 509-541, November.

    Cited by:

    1. Pisun Xu & Jian Yang, 2011. "U.S. Monetary Policy Surprises and International Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 43(4), pages 459-490, November.

  6. Wang, Zijun & Yang, Jian & Li, Qi, 2007. "Interest rate linkages in the Eurocurrency market: Contemporaneous and out-of-sample Granger causality tests," Journal of International Money and Finance, Elsevier, vol. 26(1), pages 86-103, February.

    Cited by:

    1. Michele Modugno & Kleopatra Nikolaou, 2009. "The forecasting power of international yield curve linkages," Working Paper Series 1044, European Central Bank.
    2. Yang, Jian & Su, Xiaojing & Kolari, James W., 2008. "Do Euro exchange rates follow a martingale? Some out-of-sample evidence," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 729-740, May.
    3. Mohamed El Hedi Arouri & Duc Khuong Nguyen & Fredj Jawadi, 2010. "What can we tell about monetary policy synchronization and interdependence over the 2007-2009 global financial crisis?," Working Papers hal-00507826, HAL.
    4. Michael Kühl, 2008. "Strong comovements of exchange rates: Theoretical and empirical cases when currencies become the same asset," cege – Center for European, Governance and Economic Development Research Discussion Papers 76, cege – Center for European, Governance and Economic Development Research, University of Goettingen (Germany)., revised 03 Sep 2008.

  7. Jian Yang, 2006. "Information transmission between Eurocurrency and domestic interest rates: evidence from the UK," Applied Financial Economics, Taylor and Francis Journals, vol. 16(9), pages 675-685.

    Cited by:

    1. Jian Yang & Jaeun Shin & Moosa Khan, 2007. "Causal linkages between US and Eurodollar interest rates: further evidence," Applied Economics, Taylor and Francis Journals, vol. 39(2), pages 135-144.

  8. Yang, Jian & Guo, Hui & Wang, Zijun, 2006. "International transmission of inflation among G-7 countries: A data-determined VAR analysis," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2681-2700, October.
    See citations under working paper version above.
  9. Cheng Hsiao & Zijun Wang & Jian Yang & Qi Li, 2006. "The emerging market crisis and stock market linkages: further evidence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 727-744.
    See citations under working paper version above.
  10. Yang, Jian, 2005. "International bond market linkages: a structural VAR analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(1), pages 39-54, January.

    Cited by:

    1. Jeon, Bang Nam & Ji, Philip & Zhang, Hongfang, 2012. "International linkages of Japanese bond markets: an empirical analysis
      [International Linkages of Japanese Bond Markets: An Empirical Analysis]      ," MPRA Paper 36929, University Library of Munich, Germany, revised 01 Jan 2012.

  11. Wang, Zijun & Kutan, Ali M. & Yang, Jian, 2005. "Information flows within and across sectors in Chinese stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 767-780, September.

    Cited by:

    1. Ahmed, Walid M.A., 2011. "Comovements and Causality of Sector Price Indices: Evidence from the Egyptian Stock Exchange," MPRA Paper 28127, University Library of Munich, Germany.

  12. Jian Yang & R. Brian Balyeat & David J. Leatham, 2005. "Futures Trading Activity and Commodity Cash Price Volatility," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(1-2), pages 297-323.

    Cited by:

    1. Jian Yang, 2005. "Government bond market linkages: evidence from Europe," Applied Financial Economics, Taylor and Francis Journals, vol. 15(9), pages 599-610.
    2. Shaun K. Roache & Marco Rossi, 2009. "The Effects of Economic News on Commodity Prices: Is Gold Just Another Commodity?," IMF Working Papers 09/140, International Monetary Fund.

  13. Li, Qi & Yang, Jian & Hsiao, Cheng & Chang, Young-Jae, 2005. "The relationship between stock returns and volatility in international stock markets," Journal of Empirical Finance, Elsevier, vol. 12(5), pages 650-665, December.

    Cited by:

    1. Guidi, Francesco, 2008. "Volatility and Long Term Relations in Equity Markets: Empirical Evidence from Germany, Switzerland, and the UK," MPRA Paper 11535, University Library of Munich, Germany.
    2. Christian Conrad & Enno Mammen, 2008. "Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models," Working Papers 0473, University of Heidelberg, Department of Economics, revised Jul 2008.
    3. Jie Zhu, 2008. "Pricing Volatility of Stock Returns with Volatile and Persistent Components," CREATES Research Papers 2008-14, School of Economics and Management, University of Aarhus.
    4. Hui Guo & Christopher J. Neely, 2006. "Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model," Working Papers 2006-006, Federal Reserve Bank of St. Louis.

  14. Jian Yang, 2005. "Government bond market linkages: evidence from Europe," Applied Financial Economics, Taylor and Francis Journals, vol. 15(9), pages 599-610.

    Cited by:

    1. Jian Yang, 2006. "Information transmission between Eurocurrency and domestic interest rates: evidence from the UK," Applied Financial Economics, Taylor and Francis Journals, vol. 16(9), pages 675-685.

  15. Yang, Jian & Kolari, James W. & Sutanto, Peter Wibawa, 2004. "On the stability of long-run relationships between emerging and US stock markets," Journal of Multinational Financial Management, Elsevier, vol. 14(3), pages 233-248, July.

    Cited by:

    1. Hyde, Stuart J & Bredin, Don P & Nguyen, Nghia, 2007. "Correlation dynamics between Asia-Pacific, EU and US stock returns," MPRA Paper 9681, University Library of Munich, Germany.
    2. Pinar Evrim Mandaci & Erdost Torun, 2007. "Testing Integration between the Major Emerging Markets," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 7(1), pages 1-12.

  16. Jian Yang & David Bessler & Hung-Gay Fung, 2004. "The informational role of open interest in futures markets," Applied Economics Letters, Taylor and Francis Journals, vol. 11(9), pages 569-573.

    Cited by:

    1. Bilgili, Faik, 2007. "The Permanent and Transitory Effects on Consumption and Income: Evidence from the Turkish Economy," MPRA Paper 24090, University Library of Munich, Germany, revised 20 Jul 2010.
    2. Sanders, Dwight R. & Irwin, Scott H. & Merrin, Robert P., 2009. "Smart Money: The Forecasting Ability of CFTC Large Traders in Agricultural Futures Markets," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 34(2), August.

  17. Jian Yang & David A. Bessler, 2004. "The International Price Transmission in Stock Index Futures Markets," Economic Inquiry, Oxford University Press, vol. 42(3), pages 370-386, July.

    Cited by:

    1. Yang, Jian & Guo, Hui & Wang, Zijun, 2006. "International transmission of inflation among G-7 countries: A data-determined VAR analysis," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2681-2700, October.
    2. Angelos Kanas, 2009. "Regime switching in stock index and futures markets: a note on the NIKKEI evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(4), pages 394-399.

  18. Jian Yang & Insik Min & Qi Li, 2003. "European Stock Market Integration: Does EMU Matter?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(9-10), pages 1253-1276.

    Cited by:

    1. Giofré, Maela/M., 2008. "Convergence of EMU Equity Portfolios," MPRA Paper 13927, University Library of Munich, Germany.
    2. Aristeidis Samitas & Dimitris Kenourgios, 2005. "Macroeconomic factors’ influence on “new” European countries stock returns: the case of four transition economies," Finance 0512022, EconWPA.
    3. Dimitriou, Dimitrios & Simos, Theodore, 2011. "Monetary Union effects on European stock market integration: An international CAPM approach with currency risk," MPRA Paper 37477, University Library of Munich, Germany.
    4. Jian Yang, 2005. "Government bond market linkages: evidence from Europe," Applied Financial Economics, Taylor and Francis Journals, vol. 15(9), pages 599-610.
    5. Giofré, Maela/M., 2008. "EMU Effects on Stock Markets: From Home Bias to Euro Bias," MPRA Paper 13926, University Library of Munich, Germany.
    6. Theodore Syriopoulos, 2004. "International portfolio diversification to Central European stock markets," Applied Financial Economics, Taylor and Francis Journals, vol. 14(17), pages 1253-1268.
    7. Z. Wang & J. Yang & D. A. Bessler, 2003. "Financial crisis and African stock market integration," Applied Economics Letters, Taylor and Francis Journals, vol. 10(9), pages 527-533.
    8. Younes Boujelbène & Majdi Ksantini, 2009. "La transmission entre les marchés boursiers :Une analyse en composante principale," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 52(2), pages 161-194.
    9. Cristina Martínez Sola & Pedro J. García-Teruel & Pedro Martínez Solano, 2012. "Trade credit policy and firm value," Working Papers. Serie EC 2012-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    10. Pasquale Tridico, 2011. "Varieties of capitalism and responses to the Financial Crisis: the European social Model versus the US Model," Departmental Working Papers of Economics - University 'Roma Tre' 0129, Department of Economics - University Roma Tre.

  19. Jian Yang & Moosa M. Khan & Lucille Pointer, 2003. "Increasing Integration Between the United States and Other International Stock Markets? : A Recursive Cointegration Analysis," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 39(6), pages 39-53, November.

    Cited by:

    1. Yushi Yoshida, 2009. "Financial crisis, exchange rate and stock market integration," Discussion Papers 38, Kyushu Sangyo University, Faculty of Economics.

  20. Jian Yang, 2003. "Market Segmentation and Information Asymmetry in Chinese Stock Markets: A VAR Analysis," The Financial Review, Eastern Finance Association, vol. 38(4), pages 591-609, November.

    Cited by:

    1. Kui Fan & Zudi Lu & Shouyang Wang, 2009. "Dynamic Linkages Between the China and International Stock Markets," Asia-Pacific Financial Markets, Springer, vol. 16(3), pages 211-230, September.
    2. Jian Yang & Jaeun Shin & Moosa Khan, 2007. "Causal linkages between US and Eurodollar interest rates: further evidence," Applied Economics, Taylor and Francis Journals, vol. 39(2), pages 135-144.
    3. Xiaoqiong Cai & Guy Liu & Bryan Mase, 2008. "The long-run performance of initial public offerings and its determinants: the case of China," Review of Quantitative Finance and Accounting, Springer, vol. 30(4), pages 419-432, May.
    4. Jian Yang, 2006. "Information transmission between Eurocurrency and domestic interest rates: evidence from the UK," Applied Financial Economics, Taylor and Francis Journals, vol. 16(9), pages 675-685.

  21. Awokuse, Titus O. & Yang, Jian, 2003. "The informational role of commodity prices in formulating monetary policy: a reexamination," Economics Letters, Elsevier, vol. 79(2), pages 219-224, May.
    See citations under working paper version above.
  22. Jian Yang & Jin Zhang & David J. Leatham, 2003. "Price and Volatility Transmission in International Wheat Futures," Annals of Economics and Finance, Society for AEF, vol. 4(1), pages 37-50, May.

    Cited by:

    1. Ben Shepherd, 2005. "Market Power in International Commodity Processing Chains: Preliminary Results from the Coffee Market," International Trade 0511013, EconWPA.
    2. van Binh T. & Dumont M., 2008. "A Fishing Expedition in the Mekong Delta: Market Volatility and Price Substitutes for Vietnamese Fresh Water Fish," Working Papers 2008002, University of Antwerp, Faculty of Applied Economics.
    3. Ge, Yuanlong & Wang, H. Holly & Ahn, Sung K., 2008. "Implication of Cotton Price Behavior on Market Integration," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37623, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.

  23. Jian Yang & James Kolari & Insik Min, 2003. "Stock market integration and financial crises: the case of Asia," Applied Financial Economics, Taylor and Francis Journals, vol. 13(7), pages 477-486.

    Cited by:

    1. Ian Babetskii & Lubos Komarek & Zlatuse Komarkova, 2007. "Financial Integration of Stock Markets among New EU Member States and the Euro Area," Working Papers 2007/7, Czech National Bank, Research Department.
    2. Kui Fan & Zudi Lu & Shouyang Wang, 2009. "Dynamic Linkages Between the China and International Stock Markets," Asia-Pacific Financial Markets, Springer, vol. 16(3), pages 211-230, September.
    3. Massimo Guidolin & Stuart Hyde, 2009. "What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model," Applied Financial Economics, Taylor and Francis Journals, vol. 19(6), pages 463-488.
    4. Abdul Karim, Bakri & Abdul Majid, M. Shabri & Abdul Karim, Samsul Ariffin, 2009. "Financial Integration between Indonesia and Its Major Trading Partners," MPRA Paper 17277, University Library of Munich, Germany.
    5. Li Yang & Francis Tapon & Yiguo Sun, 2006. "International correlations across stock markets and industries: trends and patterns 1988-2002," Applied Financial Economics, Taylor and Francis Journals, vol. 16(16), pages 1171-1183.
    6. Mukherjee, Dr. Kedar nath & Mishra, Dr. R. K., 2008. "Stock Market Integration and Volatility Spillover:India and its Major Asian Counterparts," MPRA Paper 12788, University Library of Munich, Germany.
    7. Chancharat,Surachai & Valadkhani, Abbas, 2007. "An Empirical Analysis of the Thai and Major International Stock Markets," Economics Working Papers wp07-13, School of Economics, University of Wollongong, NSW, Australia.
    8. Ahmed, Walid M.A., 2008. "Cointegration and dynamic linkages of international stock markets: an emerging market perspective," MPRA Paper 26986, University Library of Munich, Germany.
    9. Abdul Karim, Zulkefly & Abdul Karim, Bakri, 2008. "Stock market integration: Malaysia and its major trading partners," MPRA Paper 26976, University Library of Munich, Germany, revised Jun 2009.
    10. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2008. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working papers 2008-49, University of Connecticut, Department of Economics.
    11. Cristiana Tudor, 2011. "Changes in Stock Markets Interdependencies as a Result of the Global Financial Crisis: Empirical Investigation on the CEE Region," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 58(4), pages 525-543, December.
    12. Z. Wang & J. Yang & D. A. Bessler, 2003. "Financial crisis and African stock market integration," Applied Economics Letters, Taylor and Francis Journals, vol. 10(9), pages 527-533.
    13. Saifuzzaman Ibrahim, 2011. "The Progress of Financial Market Integration in East Asia," Transition Studies Review, Springer, vol. 18(2), pages 458-470, December.

  24. David A Bessler & Jian Yang & Metha Wongcharupan, 2003. "Price Dynamics in the International Wheat Market: Modeling with Error Correction and Directed Acyclic Graphs," Journal of Regional Science, Wiley Blackwell, vol. 43(1), pages 1-33.

    Cited by:

    1. Babula, Ronald A. & Bessler, David A. & Rogowsky, Robert A., 2005. "Dynamic Economic Relationships Among U.S. Soy Product Markets: Using a Cointegrated Vector Autoregression Approach with Directed Acyclic Graphs," Working Paper ID Series 15880, United States International Trade Commission, Office of Industries.
    2. Jian Yang & Jin Zhang & David J. Leatham, 2003. "Price and Volatility Transmission in International Wheat Futures," Annals of Economics and Finance, Society for AEF, vol. 4(1), pages 37-50, May.
    3. Babula, Ronald A. & Bessler, David A. & Reeder, John & Somwaru, Agapi, 2004. "Modeling U.S. Soy-Based Markets with Directed Acyclic Graphs and Bernanke Structural VAR Methods: The Impacts of High Soy Meal and Soybean Prices," Journal of Food Distribution Research, Food Distribution Research Society, vol. 35(03), November.
    4. Du, Wen, 2004. "International Market Integration Under Wto: Evidence In The Price Behaviors Of Chinese And Us Wheat Futures," 2004 Annual meeting, August 1-4, Denver, CO 20115, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    5. Ghoshray, Atanu, 2006. "Market Delineation and Price Leadership in the World Wheat Market: A Cointegration Analysis," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 35(2), October.
    6. Arnade, Carlos A., 2006. "Shock Absorbing Prices, a Look at Cattle and Feed," 2006 Annual meeting, July 23-26, Long Beach, CA 21408, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    7. Lee, Andrew C. & Kim, Man-Keun, 2004. "Causality Among Fed Cattle Market Variables: Directed Acyclic Graphs Analysis Of Captive Supply," 2004 Annual meeting, August 1-4, Denver, CO 20124, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    8. Bakucs, Lajos Zoltan & Brummer, Bernhard & von Cramon-Taubadel, Stephan & Ferto, Imre, 2008. "Wheat market integration between Hungary and Germany," 2008 International Congress, August 26-29, 2008, Ghent, Belgium 44171, European Association of Agricultural Economists.
    9. Babula, Ronald A. & Newman, Douglas & Rogowsky, Robert A., 2006. "A Dynamic Model of U.S. Sugar-Related Markets: A Cointegrated Vector Autoregression Approach," Journal of Food Distribution Research, Food Distribution Research Society, vol. 37(02), July.
    10. Babula, Ronald A. & Bessler, David A. & Payne, Warren S., 2004. "Dynamic Relationships Among U.S. Wheat-Related Markets: Applying Directed Acyclic Graphs to a Time Series Model," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 36(01), April.
    11. Babula, Ronald A. & Bessler, David A. & Reeder, John & Somwaru, Agapi, 2004. "Modeling U.S. Soy-Based Markets with Directed Acyclic Graphs and Time Series Econometrics: Evaluating the U.S. Market Impacts of High Soy Meal Prices," Working Paper ID Series 15885, United States International Trade Commission, Office of Industries.

  25. Bessler, David A. & Yang, Jian, 2003. "The structure of interdependence in international stock markets," Journal of International Money and Finance, Elsevier, vol. 22(2), pages 261-287, April.

    Cited by:

    1. Hsieh, Kunlin & Hsieh, Yuching & Hamori, Shigeyuki, 2010. "The interdependence of Taiwanese and Japanese stock prices," MPRA Paper 21475, University Library of Munich, Germany.
    2. Caiado, Jorge & Crato, Nuno, 2007. "A GARCH-based method for clustering of financial time series: International stock markets evidence," MPRA Paper 2074, University Library of Munich, Germany.
    3. Cheng Hsiao & Zijun Wang & Jian Yang & Qi Li, 2006. "The emerging market crisis and stock market linkages: further evidence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 727-744.
    4. Alessio Moneta, 2003. "Graphical Models for Structural Vector Autoregressions," LEM Papers Series 2003/07, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    5. Zohrabyan, Tatevik & Leatham, David J. & Bessler, David A., 2008. "Cointegration Analysis of Regional House Prices in U.S," Proceedings: 2007 Agricultural and Rural Finance Markets in Transition, October 4-5, 2007, St. Louis, Missouri 48138, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.
    6. Simplice A , Asongu, 2012. "Are Proposed African Monetary Unions Optimal Currency Areas? Real and Monetary Policy Convergence Analysis," MPRA Paper 36056, University Library of Munich, Germany.
    7. Hogun Chong & Mary Zey & David A. Bessler, 2010. "On corporate structure, strategy, and performance: a study with directed acyclic graphs and PC algorithm," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 31(1), pages 47-62.
    8. Pilar Abad & Helena Chuliá & Marta Gomez-Puig, 2009. "EMU and European Government Bond Market Integration," Working Paper Series 1079, European Central Bank.
    9. Marta Gómez-Puig, 2007. "EU-15 sovereign governments' cost of borrowing after seven years of Monetary Union," Working Papers 07-03, Asociación Española de Economía y Finanzas Internacionales.
    10. Aristeidis Samitas & Dimitris Kenourgios, 2005. "Macroeconomic factors’ influence on “new” European countries stock returns: the case of four transition economies," Finance 0512022, EconWPA.
    11. Leonidas Sandoval Junior, 2011. "Pruning a Minimum Spanning Tree," Quantitative Finance Papers 1109.0642, arXiv.org.
    12. Rousova, Linda, 2009. "Are the Central European Stock Markets Still Different? A Cointegration Analysis," Discussion Papers in Economics 10993, University of Munich, Department of Economics.
    13. Jian Yang & James Kolari & Guozhong Zhu, 2005. "European public real estate market integration," Applied Financial Economics, Taylor and Francis Journals, vol. 15(13), pages 895-905.
    14. Ayyagari, Meghana & Demirguc-Kunt, Asli & Maksimovic, Vojislav, 2006. "How important are financing constraints ? The role of finance in the business environment," Policy Research Working Paper Series 3820, The World Bank.
    15. Awokuse, Titus O., 2002. "Relative Price Dynamics And Monetary Policy: Evidence From Directed Graphs," 2002 Annual meeting, July 28-31, Long Beach, CA 19794, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    16. Jian Yang, 2005. "Government bond market linkages: evidence from Europe," Applied Financial Economics, Taylor and Francis Journals, vol. 15(9), pages 599-610.
    17. Shane, Mathew & Roe, Terry L. & Somwaru, Agapi, 2008. "Exchange Rates, Foreign Income, and U.S. Agricultural Exports," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 37(2), October.
    18. Onay, Ceylan, 2006. "A Co-integration Analysis Approach to European Union Integration: The Case of Acceding and Candidate Countries," European Integration online Papers (EIoP), European Community Studies Association Austria (ECSA-A), vol. 10, 09.
    19. Jian Yang & Jin Zhang & David J. Leatham, 2003. "Price and Volatility Transmission in International Wheat Futures," Annals of Economics and Finance, Society for AEF, vol. 4(1), pages 37-50, May.
    20. Yang, Jian & Guo, Hui & Wang, Zijun, 2006. "International transmission of inflation among G-7 countries: A data-determined VAR analysis," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2681-2700, October.
    21. Mukherjee, Dr. Kedar nath & Mishra, Dr. R. K., 2008. "Stock Market Integration and Volatility Spillover:India and its Major Asian Counterparts," MPRA Paper 12788, University Library of Munich, Germany.
    22. Jin Zhang & David Bessler & David Leatham, 2006. "Does consumer debt cause economic recession? Evidence using directed acyclic graphs," Applied Economics Letters, Taylor and Francis Journals, vol. 13(7), pages 401-407.
    23. Awokuse, Titus O., 2005. "Impact of Macroeconomic Policies on Agricultural Prices," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 34(2), October.
    24. Bessler, David A. & Leatham, David J. & Yang, Juan, 2005. "In Search of the "Bank Lending Channel": Causality Analysis for the Transmission Mechanism of U.S. Monetary Policy," 2005 Annual meeting, July 24-27, Providence, RI 19558, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    25. Melanie-Kristin Beck & Bernd Hayo & Matthias Neuenkirch, 2012. "Central Bank Communication and Correlation between Financial Markets: Canada and the United States," MAGKS Papers on Economics 201201, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    26. Duke, Joshua M. & Awokuse, Titus O., 2004. "The Causal Structure Of Land Price Determinants," 2004 Annual meeting, August 1-4, Denver, CO 20324, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    27. Alessio Moneta, 2008. "Graphical causal models and VARs: an empirical assessment of the real business cycles hypothesis," Empirical Economics, Springer, vol. 35(2), pages 275-300, September.
    28. Abdelwahab Allali & Amor Oueslati & Abdelwahed Trabelsi, 2011. "Detection of Information Flow in Major International Financial Markets by Interactivity Network Analysis," Asia-Pacific Financial Markets, Springer, vol. 18(3), pages 319-344, September.
    29. Abdul Karim, Zulkefly & Abdul Karim, Bakri, 2008. "Stock market integration: Malaysia and its major trading partners," MPRA Paper 26976, University Library of Munich, Germany, revised Jun 2009.
    30. Lee, Andrew C. & Kim, Man-Keun, 2004. "Causality Among Fed Cattle Market Variables: Directed Acyclic Graphs Analysis Of Captive Supply," 2004 Annual meeting, August 1-4, Denver, CO 20124, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    31. Harrison, Barry & Moore, Winston, 2009. "Stock Market Como Vement In The European Union And Transition Countries," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 13(3), pages 124-151.
    32. Cristiana Tudor, 2011. "Changes in Stock Markets Interdependencies as a Result of the Global Financial Crisis: Empirical Investigation on the CEE Region," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 58(4), pages 525-543, December.
    33. Z. Wang & J. Yang & D. A. Bessler, 2003. "Financial crisis and African stock market integration," Applied Economics Letters, Taylor and Francis Journals, vol. 10(9), pages 527-533.
    34. Elaine Jones, 2009. "Recession And International Market Correlations," Working Papers 0901, University of Central Missouri, Department of Economics & Finance, revised Jul 2009.
    35. Simplice A, Asongu, 2012. "African Financial Development Dynamics: Big Time Convergence," MPRA Paper 36053, University Library of Munich, Germany.
    36. Ceylan Onay & Gözde Ünal, 2012. "Cointegration and Extreme Value Analyses of Bovespa and the Istanbul Stock Exchange," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(1), pages 66-90, February.
    37. Alar Kein, 2005. "An Investigation of the Role of Cross-Border Spillover of Returns and Volatility in the Estonian Stock Market," Working Papers 120, Tallinn School of Economics and Business Administration, Tallinn University of Technology.
    38. Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2007. "Is there an identity within international stock market volatilities?," MPRA Paper 2069, University Library of Munich, Germany.
    39. Simplice A, Asongu, 2012. "Real and Monetary Policy Convergence: EMU Crisis to the CFA Zone," MPRA Paper 36051, University Library of Munich, Germany.
    40. Caiado, Jorge & Crato, Nuno, 2008. "Identifying the evolution of stock markets stochastic structure after the euro," MPRA Paper 6609, University Library of Munich, Germany.

  26. Jian Yang & David J. Leatham, 2001. "Currency Convertibility And Linkage Between Chinese Official And Swap Market Exchange Rates," Contemporary Economic Policy, Western Economic Association International, vol. 19(3), pages 347-359, 07.

    Cited by:

    1. Paresh Kumar Narayan & Russell Smyth, 2006. "The dynamic relationship between real exchange rates, real interest rates and foreign exchange reserves: empirical evidence from China," Applied Financial Economics, Taylor and Francis Journals, vol. 16(9), pages 639-651.

  27. Jian Yang & Michael Haigh & David Leatham, 2001. "Agricultural liberalization policy and commodity price volatility: a GARCH application," Applied Economics Letters, Taylor and Francis Journals, vol. 8(9), pages 593-598.

    Cited by:

    1. Kilima, Fredy & Chung, Chanjin & Kenkel, Philip L. & Mbiha, Emanuel, 2004. "The Impact Of Market Reforms On Spatial Volatility Of Maize Price In Tanzania," 2004 Annual meeting, August 1-4, Denver, CO 20332, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    2. Anthony N. Rezitis & Konstantinos S. Stavropoulos, 2010. "Supply response and price volatility in the Greek broiler market," Agribusiness, John Wiley & Sons, Ltd., vol. 26(1), pages 25-48.
    3. Ramaprasad Bhar & Shigeyuki Hamori, 2006. "Component structures of agricultural commodity futures traded on the Tokyo Grain Exchange," Asia-Pacific Financial Markets, Springer, vol. 13(1), pages 1-9, March.

  28. Jian Yang & George Davis & David Leatham, 2001. "Impact of interest rate swaps on corporate capital structure: an empirical investigation," Applied Financial Economics, Taylor and Francis Journals, vol. 11(1), pages 75-81.

    Cited by:

    1. Gabrielle Wanzenried, 2002. "Capital Structure Dynamics in UK and Continental Europe," Diskussionsschriften dp0209, Universitaet Bern, Departement Volkswirtschaft.

  29. Yang, Jian & Bessler, David A. & Leatham, David J., 2000. "The Law Of One Price: Developed And Developing Country Market Integration," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 32(03), December.

    Cited by:

    1. Kentaka Aruga & Shunsuke Managi, 2011. "Tests on price linkage between the U.S. and Japanese gold and silver futures markets," Economics Bulletin, AccessEcon, vol. 31(2), pages 1038-1046.
    2. Lau, Evan & Puah, Chin-Hong & Oh, Swee-Ling & Lo, Yan-Ching, 2008. "Causality between White Pepper and Black Pepper: Evidence from Six Markets in Sarawak," MPRA Paper 6552, University Library of Munich, Germany.

  30. Yang, Jian & Leatham, David J., 1999. "Price Discovery In Wheat Futures Markets," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 31(02), August.

    Cited by:

    1. Manfredo, Mark R. & Sanders, Dwight R., 2006. "Contribution to Price Discovery in the Forest Product Market: Futures, Forwards, and Spot Markets," 2006 Annual meeting, July 23-26, Long Beach, CA 21250, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    2. Yang, Jian & Bessler, David A. & Leatham, David J., 2000. "The Law Of One Price: Developed And Developing Country Market Integration," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 32(03), December.
    3. Du, Wen, 2004. "International Market Integration Under Wto: Evidence In The Price Behaviors Of Chinese And Us Wheat Futures," 2004 Annual meeting, August 1-4, Denver, CO 20115, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).

  31. Jian Yang & David J. Leatham, 1998. "Market efficiency of US grain markets: Application of cointegration tests," Agribusiness, John Wiley & Sons, Ltd., vol. 14(2), pages 107-112.

    Cited by:

    1. Gomez, Miguel I. & Koerner, Julia, 2009. "Do retail coffee prices increase faster than they fall? Asymmetric price transmission in France, Germany and the United States," Working Papers 55930, Cornell University, Department of Applied Economics and Management.

Corrections

To update listings or check citations waiting for approval, Jian Yang should log into the RePEc Author Service

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to correct references and citations.

To link different versions of the same work, where versions have a different title, email the respective handles to

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.