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Citations for "International Transmission of Stock Market Movements"

by Eun, Cheol S. & Shim, Sangdal

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  1. Ozdemir, Zeynel Abidin & Cakan, Esin, 2007. "Non-linear dynamic linkages in the international stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(1), pages 173-180.
  2. Zhang, Ivy Xiying, 2007. "Economic consequences of the Sarbanes-Oxley Act of 2002," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 44(1-2), pages 74-115, September.
  3. Nicholas Tay & Zhen Zhu, 2000. "Correlations in Returns and Volatilities in Pacific-Rim Stock Markets," Open Economies Review, Springer, Springer, vol. 11(1), pages 27-47, January.
  4. Bekiros, Stelios D. & Diks, Cees G.H., 2008. "The nonlinear dynamic relationship of exchange rates: Parametric and nonparametric causality testing," Journal of Macroeconomics, Elsevier, Elsevier, vol. 30(4), pages 1641-1650, December.
  5. Friedman, Joseph & Shachmurove, Yochanan, 1997. "Co-movements of major European community stock markets: A vector autoregression analysis," Global Finance Journal, Elsevier, vol. 8(2), pages 257-277.
  6. Jeffrey A. Frankel, 1994. "The Internationalization of Equity Markets," NBER Books, National Bureau of Economic Research, Inc, number fran94-1, October.
  7. Joseph Friedman & Yochanan Shachmurove, . ""Using Vector Autoregression Models to Analyze the Behavior of the European Community Stock Markets''," CARESS Working Papres, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences 97-04, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
  8. repec:ebl:ecbull:v:7:y:2006:i:5:p:1-15 is not listed on IDEAS
  9. Gannon, Gerard, 2005. "Simultaneous volatility transmissions and spillover effects: U.S. and Hong Kong stock and futures markets," International Review of Financial Analysis, Elsevier, vol. 14(3), pages 326-336.
  10. Francisco J. Climent & Vicente Meneu, 2001. "Has 1997 Asian Crisis increased Information Flows between International Markets?," Working Papers, Asociación Española de Economía y Finanzas Internacionales 01-01, Asociación Española de Economía y Finanzas Internacionales.
  11. Onour, Ibrahim, 2008. "Financial Integration of GCC Capital Markets:Evidence of Nonlinear Cointegration," MPRA Paper 15187, University Library of Munich, Germany.
  12. Lee, Bong-Soo & Hong, Gwangheon, 2002. "On the dual characteristics of closed-end country funds," Journal of International Money and Finance, Elsevier, Elsevier, vol. 21(5), pages 589-618, October.
  13. Jeon, Bang Nam & Jang, Beom-Sik, 2004. "The linkage between the US and Korean stock markets: the case of NASDAQ, KOSDAQ, and the semiconductor stocks," Research in International Business and Finance, Elsevier, Elsevier, vol. 18(3), pages 319-340, September.
  14. Andrew Clare & Ilias Lekkos, 2000. "An analysis of the relationship between international bond markets," Bank of England working papers 123, Bank of England.
  15. Wing-Keung Wong & Aman Agarwal & Jun Du, 2005. "Financial Integration for India Stock Market, a Fractional Cointegration Approach," Departmental Working Papers, National University of Singapore, Department of Economics wp0501, National University of Singapore, Department of Economics.
  16. Franco Parisi, 1997. "Los ADRS Chilenos y sus Implicancias en Precio y Varianza en sus Activos Subyacentes," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 34(102), pages 217-236.
  17. Bank for International Settlements, 2008. "Integration of India's stock market with global and major regional markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Regional financial integration in Asia: present and future, volume 42, pages 202-236 Bank for International Settlements.
  18. Hausman, Joshua & Wongswan, Jon, 2011. "Global asset prices and FOMC announcements," Journal of International Money and Finance, Elsevier, Elsevier, vol. 30(3), pages 547-571, April.
  19. Lin, Sharon Xiaowen & Tamvakis, Michael N., 2001. "Spillover effects in energy futures markets," Energy Economics, Elsevier, Elsevier, vol. 23(1), pages 43-56, January.
  20. Kee-Hong Bae & G. Andrew Karolyi & Rene M. Stulz, 2000. "A New Approach to Measuring Financial Contagion," NBER Working Papers 7913, National Bureau of Economic Research, Inc.
  21. Amado Peiro & Javier Quesada & Ezequiel Uriel, 1998. "Transmission of movements in stock markets," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 4(4), pages 331-343.
  22. Lulu Gu & W. Robert Reed, 2012. "Information Asymmetry, Market Segmentation and Cross-Listing: Implicatons for Event Study Methodology," Working Papers in Economics 12/08, University of Canterbury, Department of Economics and Finance.
  23. Kurt Brannas & Albina Soultanaeva, 2011. "Influence of news from Moscow and New York on returns and risks of Baltic States’ stock markets," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 11(1), pages 109-124, July.
  24. Claudio Morana, 2006. "International Stock Markets Comovements: the Role of Economic and Financial Integration," ICER Working Papers, ICER - International Centre for Economic Research 25-2006, ICER - International Centre for Economic Research.
  25. Cotter, John, 2004. "International equity market integration in a small open economy: Ireland January 1990-December 2000," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 669-685.
  26. Pagan, Jose A. & Soydemir, Gokce A., 2001. "Response asymmetries in the Latin American equity markets," International Review of Financial Analysis, Elsevier, vol. 10(2), pages 175-185.
  27. Sheng, Hsiao-Ching & Tu, Anthony H., 2000. "A study of cointegration and variance decomposition among national equity indices before and during the period of the Asian financial crisis," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 10(3-4), pages 345-365, December.
  28. Claudio Loderer & Marc-André Mittermayer, 2006. "America and the Swiss Stock Exchange: An Intraday Analysis," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), Swiss Society of Economics and Statistics (SSES), vol. 142(I), pages 79-114, March.
  29. Tsutsui, Yoshiro & Hirayama, Kenjiro, 2005. "Estimation of the common and country-specific shock to stock prices," Journal of the Japanese and International Economies, Elsevier, vol. 19(3), pages 322-337, September.
  30. Mala Raghavan & Jonathan Dark & Elizabeth Ann Maharaj, 2010. "Impact of capital control measures on the Malaysian stock market: A multiresolution analysis," International Journal of Managerial Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 6(2), pages 116-127, April.
  31. So, Raymond W., 2001. "Price and volatility spillovers between interest rate and exchange value of the US dollar," Global Finance Journal, Elsevier, vol. 12(1), pages 95-107.
  32. Constantinos Katrakilidis & Athanasios Koulakiotis, 2006. "The Impact of Stock Exchange Rules on Volatility and Error Transmission -- The Case of Frankfurt and Zurich Cross-Listed Equities," Annals of Economics and Finance, Society for AEF, vol. 7(2), pages 321-338, November.
  33. Lee, Bong-Soo & Rui, Oliver M., 2002. "The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 51-78, January.
  34. Hsin, Chin-Wen, 2004. "A multilateral approach to examining the comovements among major world equity markets," International Review of Financial Analysis, Elsevier, vol. 13(4), pages 433-462.
  35. Wen-Ling Lin & Takatoshi Ito, 1994. "Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets," NBER Chapters, in: The Internationalization of Equity Markets, pages 309-343 National Bureau of Economic Research, Inc.
  36. Anthony S. Tay & Aamir R. Hashmi, 2004. "Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models with Time-Varying Conditional Skewness," Econometric Society 2004 Far Eastern Meetings, Econometric Society 634, Econometric Society.
  37. Christofi, A. & Pericli, A., 1999. "Correlation in price changes and volatility of major Latin American stock markets," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 9(1), pages 79-93, January.
  38. Masih, Rumi & Masih, Abul M. M., 2001. "Long and short term dynamic causal transmission amongst international stock markets," Journal of International Money and Finance, Elsevier, Elsevier, vol. 20(4), pages 563-587, August.
  39. Goetzmann, William N. & Ivković, Zoran & Rouwenhorst, K. Geert, 2001. "Day Trading International Mutual Funds: Evidence and Policy Solutions," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 36(03), pages 287-309, September.
  40. Grigoryev, Ruslan & Jaffry, Shabbar & Marchenko, German, 2012. "The role of the timeline in Granger causality test in the presence of daily data non-synchronism," Applied Econometrics, Publishing House "SINERGIA PRESS", Publishing House "SINERGIA PRESS", vol. 27(3), pages 3-19.
  41. Wu, Ying, 2001. "Exchange rates, stock prices, and money markets: evidence from Singapore," Journal of Asian Economics, Elsevier, vol. 12(3), pages 445-458.
  42. Nafeesa Yunus & J. Hansz & Paul Kennedy, 2012. "Dynamic Interactions Between Private and Public Real Estate Markets: Some International Evidence," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 45(4), pages 1021-1040, November.
  43. repec:rej:journl:v:15:y:2012:i:44:p:87-100 is not listed on IDEAS
  44. Hakan Berument & Onur Ince, 2005. "Effect of S&P500's return on emerging markets: Turkish experience," Applied Financial Economics Letters, Taylor and Francis Journals, Taylor and Francis Journals, vol. 1(1), pages 59-64, January.
  45. Pan, Ming-Shiun & Liu, Y. Angela & Roth, Herbert J., 1999. "Common stochastic trends and volatility in Asian-Pacific equity markets," Global Finance Journal, Elsevier, vol. 10(2), pages 161-172.
  46. Gooptu, Sudarshan, 1994. "Are portfolio flows to emerging markets complementary or competitive?," Policy Research Working Paper Series 1360, The World Bank.
  47. Chia-Ching Chang & Sheng-Syan Chen & Robin Chou & Chin-Wen Hsin, 2011. "Intraday return spillovers and its variations across trading sessions," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 36(3), pages 355-390, April.
  48. Kishor, N. Kundan & Marfatia, Hardik A., 2013. "The time-varying response of foreign stock markets to U.S. monetary policy surprises: Evidence from the Federal funds futures market," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 24(C), pages 1-24.
  49. Brooks, Chris & Henry, Olan T., 2000. "Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia," Economic Modelling, Elsevier, vol. 17(4), pages 497-513, December.
  50. Janakiramanan, Sundaram & Lamba, Asjeet S., 1998. "An empirical examination of linkages between Pacific-Basin stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 8(2), pages 155-173, June.
  51. Elyasiani, Elyas & Kocagil, Ahmet E., 2001. "Interdependence and dynamics in currency futures markets: A multivariate analysis of intraday data," Journal of Banking & Finance, Elsevier, vol. 25(6), pages 1161-1186, June.
  52. Frank Westermann, 2002. "Stochastic Trends and Cycles in National Stock Market Indices: Evidence from the U.S., the U.K. and Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), Swiss Society of Economics and Statistics (SSES), vol. 138(III), pages 317-328, September.
  53. Dungey, Mardi & Fry, Renee & Martin, Vance L., 2004. "Identification of common and idiosyncratic shocks in real equity prices: Australia, 1982-2002," Global Finance Journal, Elsevier, vol. 15(1), pages 81-102.
  54. 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, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 58(4), pages 525-543, December.
  55. Bachman, Daniel & Choi, Jongmoo Jay & Jeon, Bang Nan & Kopecky, Kenneth J., 1996. "Common factors in international stock prices: Evidence from a cointegration study," International Review of Financial Analysis, Elsevier, vol. 5(1), pages 39-53.
  56. Peresetsky, A. A., 2011. "What determines the behavior of the Russian stock market," MPRA Paper 41508, University Library of Munich, Germany.
  57. Mahendra Chandra, 2006. "The day-of-the-week effect in conditional correlation," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 27(3), pages 297-310, November.
  58. Ewing, Bradley T. & Payne, James E. & Sowell, Clifford, 1999. "NAFTA and North American stock market linkages: an empirical note," The North American Journal of Economics and Finance, Elsevier, vol. 10(2), pages 443-451.
  59. Menezes, Rui & Dionísio, Andreia & Hassani, Hossein, 2012. "On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 52(4), pages 369-384.
  60. Wu, Chunchi & Su, Youg-Chern, 1998. "Dynamic relations among international stock markets," International Review of Economics & Finance, Elsevier, Elsevier, vol. 7(1), pages 63-84.
  61. Yuichi Nagahara, 2011. "Using Nonnormal Distributions to Analyze the Relationship Between Stock Returns in Japan and the US," Asia-Pacific Financial Markets, Springer, Springer, vol. 18(4), pages 429-443, November.
  62. Ming-Shiun Pan & L. Hsueh, 1998. "Transmission of Stock Returns and Volatility between the U.S. and Japan: Evidence from the Stock Index Futures Markets," Asia-Pacific Financial Markets, Springer, Springer, vol. 5(3), pages 211-225, November.
  63. Gagnon, Louis & Karolyi, G. Andrew, 2009. "Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 44(04), pages 953-986, August.
  64. Leitao, Joao & Armada, Manuel Rocha & Ferreira, Joaaquim, 2012. "Corruption and Co-Movements in European Listed Sport Companies: Did Calciocaos really matter?," MPRA Paper 42474, University Library of Munich, Germany.
  65. Ibrahim Onour, . "Financial Integration of North Africa Stock Markets," API-Working Paper Series 0908, Arab Planning Institute - Kuwait, Information Center.
  66. Korhonen, Iikka & Peresetsky , Anatoly, 2013. "What determines stock market behavior in Russia and other emerging countries?," BOFIT Discussion Papers, Bank of Finland, Institute for Economies in Transition 4/2013, Bank of Finland, Institute for Economies in Transition.
  67. Valadkhani, Abbas & O'Brien, Martin & Karunanayake, Indika, 2009. "Modelling Australian Stock Market Volatility: A Multivariate GARCH Approach," Economics Working Papers, School of Economics, University of Wollongong, NSW, Australia wp09-11, School of Economics, University of Wollongong, NSW, Australia.
  68. 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, Springer, vol. 18(3), pages 319-344, September.
  69. Masih, Abul M. M. & Masih, Rumi, 1999. "Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 7(3-4), pages 251-282, August.
  70. Iwatsubo, Kentaro & Inagaki, Kazuyuki, 2006. "Measuring Financial Market Contagion Using Dually-Traded Stocks of Asian Firms," CEI Working Paper Series, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University 2006-14, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University.
  71. Thomas Lagoarde-Segot & Brian Lucey, 2006. "Financial Contagion in Emerging Markets: Evidence from the Middle East and North Africa," The Institute for International Integration Studies Discussion Paper Series, IIIS iiisdp114, IIIS.
  72. Chen, Gong-meng & Firth, Michael & Meng Rui, Oliver, 2002. "Stock market linkages: Evidence from Latin America," Journal of Banking & Finance, Elsevier, vol. 26(6), pages 1113-1141, June.
  73. Masih, Abul M. M. & Masih, Rumi, 1997. "Dynamic linkages and the propagation mechanism driving major international stock markets: An analysis of the pre- and post-crash eras," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 37(4), pages 859-885.
  74. Fabio Trojani & Francesco Audrino, 2006. "Estimating and predicting multivariate volatility thresholds in global stock markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 21(3), pages 345-369.
  75. Mulyadi, Martin Surya, 2009. "Volatility spillover in Indonesia, USA, and Japan capital market," MPRA Paper 16914, University Library of Munich, Germany.
  76. Tam, Pui Sun, 2014. "A spatial–temporal analysis of East Asian equity market linkages," Journal of Comparative Economics, Elsevier, vol. 42(2), pages 304-327.
  77. Sandoval, Leonidas, 2014. "To lag or not to lag? How to compare indices of stock markets that operate on different times," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 403(C), pages 227-243.
  78. Maysami, Ramin Cooper & Koh, Tiong Sim, 2000. "A vector error correction model of the Singapore stock market," International Review of Economics & Finance, Elsevier, Elsevier, vol. 9(1), pages 79-96, February.
  79. Dikova, Desislava & Rao Sahib, Padma, 2013. "Is cultural distance a bane or a boon for cross-border acquisition performance?," Journal of World Business, Elsevier, vol. 48(1), pages 77-86.
  80. Cathy Chen & Richard Gerlach, 2013. "Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity," Computational Statistics, Springer, Springer, vol. 28(3), pages 1103-1131, June.
  81. Ahn, Seung C. & Perez, M. Fabricio, 2010. "GMM estimation of the number of latent factors: With application to international stock markets," Journal of Empirical Finance, Elsevier, Elsevier, vol. 17(4), pages 783-802, September.
  82. Greene, Jason T. & Hodges, Charles W., 2002. "The dilution impact of daily fund flows on open-end mutual funds," Journal of Financial Economics, Elsevier, Elsevier, vol. 65(1), pages 131-158, July.
  83. Tomoe Moore, 2007. "Has entry to the European Union altered the dynamic links of stock returns for the emerging markets?," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 17(17), pages 1431-1446.
  84. Kenjiro Hirayama & Yoshiro Tsutsui, 2003. "Market Efficiency and International Linkage of Stock Prices: An Analysis with High Frequency Data," Discussion Papers in Economics and Business 03-04, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
  85. E.Panopoulou & T. Pantelidis, 2005. "Integration at a cost: Evidence from volatility impulse response functions," Economics, Finance and Accounting Department Working Paper Series, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth n1540305, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  86. Chong, Terence Tai-Leung & Wong, Ying-Chiu & Yan, Isabel Kit-Ming, 2008. "International linkages of the Japanese stock market," Japan and the World Economy, Elsevier, Elsevier, vol. 20(4), pages 601-621, December.
  87. 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.
  88. Martens, Martin & Poon, Ser-Huang, 2001. "Returns synchronization and daily correlation dynamics between international stock markets," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1805-1827, October.
  89. Jian Yang & Cheng Hsiao & Qi Li & Zijun Wang, 2005. "The Emerging Market Crisis and Stock Market Linkages: Further Evidence," IEPR Working Papers, Institute of Economic Policy Research (IEPR) 05.27, Institute of Economic Policy Research (IEPR).
  90. Yochanan Shachmurove, 2001. "Dynamic Co-movements of Stock Indices: The Emerging Middle Eastern and the United States Markets," Penn CARESS Working Papers, Penn Economics Department ddffc4204cf90a8523fb64134, Penn Economics Department.
  91. Li, Meng & Yang, Liang, 2013. "Modeling the volatility of futures return in rubber and oil—A Copula-based GARCH model approach," Economic Modelling, Elsevier, vol. 35(C), pages 576-581.
  92. Elyasiani, Elyas & Perera, Priyal & Puri, Tribhuvan N., 1998. "Interdependence and dynamic linkages between stock markets of Sri Lanka and its trading partners," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 8(1), pages 89-101, January.
  93. Onour, Ibrahim, 2012. "Volatility Spillover Across GCC Stock Markets," MPRA Paper 57086, University Library of Munich, Germany.
  94. Hahn Shik Lee, 2004. "International transmission of stock market movements: a wavelet analysis," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 11(3), pages 197-201.
  95. Yoshiro Tsutsui & Kenjiro Hirayama, 2010. "How Fast Do Tokyo And New York Stock Exchanges Respond To Each Other? An Analysis With High-Frequency Data," The Japanese Economic Review, Japanese Economic Association, Japanese Economic Association, vol. 61(2), pages 175-201.
  96. Zitzewitz, Eric, 2002. "Who Cares About Shareholders? Arbitrage-Proofing Mutual Funds," Research Papers 1749, Stanford University, Graduate School of Business.
  97. Nikolaos Sariannidis & Evangelos Drimbetas, 2008. "Impact of international volatility and the introduction of Individual Stock Futures on the volatility of a small market," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 119-.
  98. Huyghebaert, Nancy & Wang, Lihong, 2010. "The co-movement of stock markets in East Asia: Did the 1997-1998 Asian financial crisis really strengthen stock market integration?," China Economic Review, Elsevier, vol. 21(1), pages 98-112, March.
  99. Jorge A. Chan-Lau & Iryna V. Ivaschenko, 2002. "Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia," IMF Working Papers 02/154, International Monetary Fund.
  100. Bailey, Warren & Choi, J. Jay, 2003. "International market linkages," Journal of Economics and Business, Elsevier, Elsevier, vol. 55(5-6), pages 399-404.
  101. Thomas Chiang & Sheng-Yung Yang, 2005. "International Asset Excess Returns and Multivariate Conditional Volatilities," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 24(3), pages 295-312, May.
  102. Craig, Alastair & Dravid, Ajay & Richardson, Matthew, 1995. "Market efficiency around the clock Some supporting evidence using foreign-based derivatives," Journal of Financial Economics, Elsevier, Elsevier, vol. 39(2-3), pages 161-180.
  103. Lee, Yi-Tsung & Lin, Ji-Chai & Liu, Yu-Jane, 1999. "Trading patterns of big versus small players in an emerging market: An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 23(5), pages 701-725, May.
  104. Knif, Johan & Pynnonen, Seppo, 1999. "Local and global price memory of international stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 9(2), pages 129-147, April.
  105. Singh, Priyanka & Kumar, Brajesh & Pandey, Ajay, 2010. "Price and volatility spillovers across North American, European and Asian stock markets," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 55-64, January.
  106. Bonfiglioli, Alessandra & Favero, Carlo A., 2005. "Explaining co-movements between stock markets: The case of US and Germany," Journal of International Money and Finance, Elsevier, Elsevier, vol. 24(8), pages 1299-1316, December.
  107. Christodoulakis, George A. & Satchell, Stephen E., 2002. "Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns," European Journal of Operational Research, Elsevier, Elsevier, vol. 139(2), pages 351-370, June.
  108. Mahfuzul Haque & Imen Kouki, 2009. "Effect of 9/11 on the conditional time-varying equity risk premium: evidence from developed markets," Journal of Risk Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 10(3), pages 261-276, May.
  109. Mohamed El Hedi Arouri & Mondher Bellalah & Duc Khuong Nguyen, 2008. "The Comovements In International Stock Markets: New Evidence From Latin American Emerging Countries," Working Papers halshs-00202943, HAL.
  110. Yochanan Shachmurove, . ""Portfolio Analysis of Latin American Stock Markets''," CARESS Working Papres, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences 97-08, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
  111. World Bank, 2007. "Global Development Finance 2007 : The Globalization of Corporate Finance in Developing Countries, Volume 1. Review, Analysis, and Outlook," World Bank Publications, The World Bank, number 8126, October.
  112. Fung, Alexander Kwok-Wah & Lam, Kin & Lam, Ka-Ming, 2010. "Do the prices of stock index futures in Asia overreact to U.S. market returns?," Journal of Empirical Finance, Elsevier, Elsevier, vol. 17(3), pages 428-440, June.
  113. Ng, Angela, 2000. "Volatility spillover effects from Japan and the US to the Pacific-Basin," Journal of International Money and Finance, Elsevier, Elsevier, vol. 19(2), pages 207-233, April.
  114. Diamandis, Panayiotis F., 2009. "International stock market linkages: Evidence from Latin America," Global Finance Journal, Elsevier, vol. 20(1), pages 13-30.
  115. Hirayama, Kenjiro & Tsutsui, Yoshiro, 1998. "Threshold effect in international linkage of stock prices," Japan and the World Economy, Elsevier, Elsevier, vol. 10(4), pages 441-453, October.
  116. Eduardo Roca & Victor Wong & Gurudeo Tularam, 2010. "The Market Sensitivity of Australian Superannuation Socially Responsible Investment Funds. Evidence from a Markov Regime Switching Approach," Discussion Papers in Finance finance:201012, Griffith University, Department of Accounting, Finance and Economics.
  117. Aktham Maghyereh & Hiatham Al-Zuobi, 2005. "Free trade agreements and equity market integration: the case of the US and Jordan," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 15(14), pages 995-1005.
  118. Javed Anwar & M. Tariq Javed, 2000. "Capital Markets and Foreign Ownership Restrictions: An Empirical Analysis of Emerging Stock Markets," The Pakistan Development Review, Pakistan Institute of Development Economics, Pakistan Institute of Development Economics, vol. 39(4), pages 933-950.
  119. Eleni Constantinou & Avo Kazandjian & Georgios P. Kouretas & Vera Tahmazian, 2008. "Common Stochastic Trends Among The Cyprus Stock Exchange And The Ase, Lse And Nyse," Bulletin of Economic Research, Wiley Blackwell, vol. 60(4), pages 327-349, October.
  120. Sheedy, Elizabeth, 1998. "Correlation in currency markets a risk-adjusted perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 8(1), pages 59-82, January.
  121. Giorgio Valente & Lucio Sarno, 2004. "Modeling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers," Working Papers, Warwick Business School, Finance Group wp04-11, Warwick Business School, Finance Group.
  122. Shirvani, Hassan & Wilbratte, Barry, 2007. "The permanent-transitory decomposition of the stock markets of the G7 countries: A multivariate approach," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 47(2), pages 352-365, May.
  123. Heng Chen & Bento J. Lobo & Wing-Keung Wong, 2006. "Links between the Indian, U.S. and Chinese Stock Markets," Departmental Working Papers, National University of Singapore, Department of Economics wp0602, National University of Singapore, Department of Economics.
  124. Chesnay, F. & Jondeau, E., 2000. "Does Correlation between Stock Returns Really Increase during Turbulent Period?," Working papers, Banque de France 73, Banque de France.
  125. Bialkowski, Jedrzej & Bohl, Martin T. & Serwa, Dobromil, 2006. "Testing for financial spillovers in calm and turbulent periods," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 46(3), pages 397-412, July.
  126. Baekin Cha & Yan-leung Cheung, 1998. "The Impact of the U.S. and the Japanese Equity Markets on the Emerging Asia-Pacific Equity Markets," Asia-Pacific Financial Markets, Springer, Springer, vol. 5(3), pages 191-209, November.
  127. Sinha, Pankaj & Sinha, Gyanesh, 2010. "Volatility Spillover in India, USA and Japan Investigation of Recession Effects," MPRA Paper 21873, University Library of Munich, Germany.
  128. Gultekin Isiklar, 2005. "Structural VAR identification in asset markets using short-run market inefficiencies," Econometrics, EconWPA 0501001, EconWPA, revised 02 Jan 2005.
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