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Citations for "Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility"

by Lin, Wen-Ling & Engle, Robert F & Ito, Takatoshi

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  1. John Cotter & Simon Stevenson, 2006. "Multivariate Modeling of Daily REIT Volatility," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 32(3), pages 305-325, May.
  2. Marc Joëts, 2012. "Energy price transmissions during extreme movements," EconomiX Working Papers 2012-38, University of Paris West - Nanterre la Défense, EconomiX.
  3. Brière, Marie & Chapelle, Ariane & Szafarz, Ariane, 2012. "No contagion, only globalization and flight to quality," Journal of International Money and Finance, Elsevier, Elsevier, vol. 31(6), pages 1729-1744.
  4. Jian Zhou & Yanmin Gao, 2012. "Tail Dependence in International Real Estate Securities Markets," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 45(1), pages 128-151, June.
  5. Cuadro-Sáez, Lucía & Fratzscher, Marcel & Thimann, Christian, 2009. "The transmission of emerging market shocks to global equity markets," Journal of Empirical Finance, Elsevier, Elsevier, vol. 16(1), pages 2-17, January.
  6. Antonakakis, Nikolaos & Kizys, Renatas & Floros, Christos, 2014. "Dynamic Spillover Effects in Futures Markets," MPRA Paper 53876, University Library of Munich, Germany.
  7. Ekaterini Panopoulou & Theologos Pantelidis, 2009. "Integration at a cost: evidence from volatility impulse response functions," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 19(11), pages 917-933.
  8. Marie Briere & Ariane Szafarz, 2007. "Crisis-Robust Bond Portfolios," Working Papers CEB, ULB -- Universite Libre de Bruxelles 07-030.RS, ULB -- Universite Libre de Bruxelles.
  9. Gropp, Reint & Moerman, Gerard, 2003. "Measurement of contagion in banks' equity prices," Working Paper Series, European Central Bank 0297, European Central Bank.
  10. Massimo Guidolin, 2005. "Home Bias and High Turnover in an Overlapping-generations Model with Learning," Review of International Economics, Wiley Blackwell, vol. 13(4), pages 725-756, 09.
  11. Eric Zitzewitz, 2003. "Who Cares About Shareholders? Arbitrage-Proofing Mutual Funds," Journal of Law, Economics and Organization, Oxford University Press, Oxford University Press, vol. 19(2), pages 245-280, October.
  12. Michel Beine & Bertrand Candelon & Jan Piplack, 2009. "Comovements of returns and volatility in international stock markets: a high-frequency approach," Working Papers, Utrecht School of Economics 09-10, Utrecht School of Economics.
  13. Maria Kasch & Massimiliano Caporin, 2008. "Volatility Threshold Dynamic Conditional Correlations: An International Analysis," "Marco Fanno" Working Papers 0065, Dipartimento di Scienze Economiche "Marco Fanno".
  14. G. Andrew Karoly & Rene Stulz, . "Why do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements," Research in Financial Economics 9603, Ohio State University.
  15. A. Javier Hamann & Irina Bunda & Subir Lall, 2010. "Correlations in Emerging Market Bonds," IMF Working Papers 10/6, International Monetary Fund.
  16. Asai, Manabu & Brugal, Ivan, 2013. "Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 202-213.
  17. Jeong, Jin-Gil, 1999. "Cross-border transmission of stock price volatility: evidence from the overlapping trading hours," Global Finance Journal, Elsevier, vol. 10(1), pages 53-70.
  18. van Dijk, Dick & Osborn, Denise R. & Sensier, Marianne, 2005. "Testing for causality in variance in the presence of breaks," Economics Letters, Elsevier, vol. 89(2), pages 193-199, November.
  19. Cifarelli, Giulio & Paladino, Giovanna, 2006. "Volatility co-movements between emerging sovereign bonds: Is there segmentation between geographical areas?," Global Finance Journal, Elsevier, vol. 16(3), pages 245-263, March.
  20. Christiansen, Charlotte, 2005. "Decomposing European bond and equity volatility," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies F-2004-01, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  21. Ahoniemi, Katja & Lanne, Markku, 2013. "Overnight stock returns and realized volatility," International Journal of Forecasting, Elsevier, Elsevier, vol. 29(4), pages 592-604.
  22. Chan, Leo & Lien, Donald & Weng, Wenlong, 2008. "Financial interdependence between Hong Kong and the US: A band spectrum approach," International Review of Economics & Finance, Elsevier, Elsevier, vol. 17(4), pages 507-516, October.
  23. Baur, Dirk & Jung, Robert C., 2006. "Return and volatility linkages between the US and the German stock market," Journal of International Money and Finance, Elsevier, Elsevier, vol. 25(4), pages 598-613, June.
  24. Albert S. Kyle, 2001. "Contagion as a Wealth Effect," Journal of Finance, American Finance Association, American Finance Association, vol. 56(4), pages 1401-1440, 08.
  25. Oxelheim, Lars, 2001. "Routes to equity market integration -- the interplay between politicians, investors and managers," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 11(2), pages 183-211, April.
  26. Montes, Gabriel Caldas & Tiberto, Bruno Pires, 2012. "Macroeconomic environment, country risk and stock market performance: Evidence for Brazil," Economic Modelling, Elsevier, vol. 29(5), pages 1666-1678.
  27. Mahua Barari & Brian Lucey & Svitlana Voronkova, 2005. "CEE Banking Sector Co-Movement: Contagion or Interdependence?," The Institute for International Integration Studies Discussion Paper Series, IIIS iiisdp078, IIIS.
  28. Hartmann, Philipp & Straetmans, Stefan & de Vries, Casper, 2001. "Asset market linkages in crisis periods," Working Paper Series, European Central Bank 0071, European Central Bank.
  29. Giulio Cifarelli & Giovanna Paladino, 2001. "Volatility spillovers and the role of leading financial centres," BNL Quarterly Review, Banca Nazionale del Lavoro, Banca Nazionale del Lavoro, vol. 54(216), pages 37-71.
  30. Mun, Kyung-Chun, 2005. "Contagion and impulse response of international stock markets around the 9-11 terrorist attacks," Global Finance Journal, Elsevier, vol. 16(1), pages 48-68, August.
  31. Syllignakis, Manolis N. & Kouretas, Georgios P., 2011. "Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets," International Review of Economics & Finance, Elsevier, Elsevier, vol. 20(4), pages 717-732, October.
  32. Ibrahim, Boulis Maher & Brzeszczynski, Janusz, 2009. "Inter-regional and region-specific transmission of international stock market returns: The role of foreign information," Journal of International Money and Finance, Elsevier, Elsevier, vol. 28(2), pages 322-343, March.
  33. George Milunovich & Susan Thorp, 2005. "Valuing Volatility Spillovers," Research Papers, Macquarie University, Department of Economics 0506, Macquarie University, Department of Economics.
  34. Kohonen, Anssi, 2013. "On detection of volatility spillovers in overlapping stock markets," Journal of Empirical Finance, Elsevier, Elsevier, vol. 22(C), pages 140-158.
  35. Zied Ftiti & Aviral Tiwari & Amél Belanès & Khaled Guesmi, 2014. "Tests of Financial Market Contagion: Evolutionary Cospectral Analysis V.S. Wavelet Analysis," Working Papers 2014-577, Department of Research, Ipag Business School.
  36. Hong, Yongmiao & Liu, Yanhui & Wang, Shouyang, 2009. "Granger causality in risk and detection of extreme risk spillover between financial markets," Journal of Econometrics, Elsevier, Elsevier, vol. 150(2), pages 271-287, June.
  37. Connolly, Robert A. & Wang, F. Albert, 2003. "International equity market comovements: Economic fundamentals or contagion?," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 11(1), pages 23-43, January.
  38. María José Melendez & Marco Morales & Guillermo Yáñez, 2010. "Transmisión de Shocks y Acoplamiento con Mercados Accionarios Externos: Efectos Asimétricos y Quiebre Estructural," Working Papers, Facultad de Economía y Empresa, Universidad Diego Portales 11, Facultad de Economía y Empresa, Universidad Diego Portales.
  39. Sandoval, Leonidas Junior, 2013. "To lag or not to lag? How to compare indices of stock markets that operate at different times," Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa wpe_319, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  40. Mehl, Arnaud, 2006. "The yield curve as a predictor and emerging economies," Working Paper Series, European Central Bank 0691, European Central Bank.
  41. Nagayasu, Jun, 2010. "Economic Factors Contributing to Time-Varying Conditional Correlations in Stock Returns," MPRA Paper 28391, University Library of Munich, Germany.
  42. Heung-Joo Cha & Thadavillil Jithendranathan, 2009. "Time-varying correlations and optimal allocation in emerging market equities for the US investors," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 14(2), pages 172-187.
  43. Aloui, Chaker & Hkiri, Besma, 2014. "Co-movements of GCC emerging stock markets: New evidence from wavelet coherence analysis," Economic Modelling, Elsevier, vol. 36(C), pages 421-431.
  44. repec:ipg:wpaper:28 is not listed on IDEAS
  45. Milunovich, George & Thorp, Susan, 2007. "Measuring equity market integration using uncorrelated information flows: Tokyo, London and New York," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 17(4), pages 275-289, October.
  46. Poshakwale, Sunil S. & Aquino, Katty Pérez, 2008. "The dynamics of volatility transmission and information flow between ADRs and their underlying stocks," Global Finance Journal, Elsevier, vol. 19(2), pages 187-201.
  47. Cotter, John & Longin, Francois, 2006. "Implied correlation from VaR," MPRA Paper 3506, University Library of Munich, Germany.
  48. LONGIN, François & SOLNIK, Bruno, 2000. "Extreme correlation of international equity markets," Les Cahiers de Recherche 705, HEC Paris.
  49. Bhargava, Rahul & Dubofsky, David A., 2001. "A note on fair value pricing of mutual funds," Journal of Banking & Finance, Elsevier, vol. 25(2), pages 339-354, February.
  50. Hong, Yongmiao, 2001. "A test for volatility spillover with application to exchange rates," Journal of Econometrics, Elsevier, Elsevier, vol. 103(1-2), pages 183-224, July.
  51. Chan-Lau, Jorge A. & Ivaschenko, Iryna, 2003. "Asian Flu or Wall Street virus? Tech and non-tech spillovers in the United States and Asia," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 13(4-5), pages 303-322, December.
  52. Sinha, Pankaj & Sinha, Gyanesh, 2010. "Volatility Spillover in India, USA and Japan Investigation of Recession Effects," MPRA Paper 47190, University Library of Munich, Germany, revised 17 May 2013.
  53. Malik, Farooq & Ewing, Bradley T., 2009. "Volatility transmission between oil prices and equity sector returns," International Review of Financial Analysis, Elsevier, vol. 18(3), pages 95-100, June.
  54. Catão, Luis A. V. & Timmermann, Allan G, 2004. "Country and Industry Dynamics in Stock Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4368, C.E.P.R. Discussion Papers.
  55. Viviana Fernández, 2006. "Extremal dependence in European capital markets," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 275-293, November.
  56. Jaiswal-Dale, Ameeta & Jithendranathan, Thadavillil, 2009. "Transmission of shocks from cross-listed markets to the return and volatility of domestic stocks," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 19(5), pages 395-408, December.
  57. Hassan, Syed Aun & Malik, Farooq, 2007. "Multivariate GARCH modeling of sector volatility transmission," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 47(3), pages 470-480, July.
  58. Kofman, Paul & Martens, Martin, 1997. "Interaction between stock markets: an analysis of the common trading hours at the London and New York stock exchange," Journal of International Money and Finance, Elsevier, Elsevier, vol. 16(3), pages 387-414, June.
  59. Elena Andreou & Maria Matsi & Andreas Savvides, 2013. "Stock and Foreign Exchange Market Linkages in Emerging Economies," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics 01-2013, University of Cyprus Department of Economics.
  60. Han, Yufeng, 2012. "State uncertainty in stock markets: How big is the impact on the cost of equity?," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2575-2592.
  61. Kee-Hong Bae & G. Andrew Karolyi & René M. Stulz, 2003. "A New Approach to Measuring Financial Contagion," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 16(3), pages 717-763, July.
  62. Gregory Connor & Anita Suurlaht, 2012. "Dynamic Stock Market Covariances in the Eurozone," Economics, Finance and Accounting Department Working Paper Series, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth n222-12.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  63. Hashmi, Aamir R. & Tay, Anthony S., 2007. "Global regional sources of risk in equity markets: Evidence from factor models with time-varying conditional skewness," Journal of International Money and Finance, Elsevier, Elsevier, vol. 26(3), pages 430-453, April.
  64. Ang, Andrew & Chen, Joseph, 2002. "Asymmetric correlations of equity portfolios," Journal of Financial Economics, Elsevier, Elsevier, vol. 63(3), pages 443-494, March.
  65. Wang, Steven Shuye & Firth, Michael, 2004. "Do bears and bulls swim across oceans? Market information transmission between greater China and the rest of the world," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 14(3), pages 235-254, July.
  66. Bank for International Settlements, 2001. "Market liquidity: proceedings of a workshop held at the BIS," BIS Papers, Bank for International Settlements, number 02.
  67. Eli M Remolona & Benjamin H. Cohen, 2000. "Information flows during the asian crisis: evidence from closed-end funds," BIS Working Papers 97, Bank for International Settlements.
  68. Hatice Ozer Balli & Faruk Balli & Rosmy Jean Louis, 2013. "Time-Varying Spillover Effects on Sectoral Equity Returns," International Review of Finance, International Review of Finance Ltd., vol. 13(1), pages 67-91, 03.
  69. Oxelheim, Lars & Randoy, Trond & Stonehill, Arthur, 2011. "What Can International Finance Add to International Strategy?," Working Paper Series, Research Institute of Industrial Economics 888, Research Institute of Industrial Economics.
  70. Ewing, Bradley T. & Malik, Farooq & Ozfidan, Ozkan, 2002. "Volatility transmission in the oil and natural gas markets," Energy Economics, Elsevier, Elsevier, vol. 24(6), pages 525-538, November.
  71. Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2007. "Is there an identity within international stock market volatilities?," MPRA Paper 2069, University Library of Munich, Germany.
  72. Ito, Akitoshi, 1999. "Profits on technical trading rules and time-varying expected returns: evidence from Pacific-Basin equity markets," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 7(3-4), pages 283-330, August.
  73. Yusaku Nishimura & Yoshiro Tsutsui & Kenjiro Hirayama, 2014. "Intraday Return and Volatility Spillover Mechanism from Chinese to Japanese Stock Market," Discussion Papers in Economics and Business 14-01, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
  74. Bill B. Francis & Iftekhar Hasan & Delroy M. Hunter, 2004. "Return-volatility linkages in the international equity and currency markets," Finance, EconWPA 0405022, EconWPA.
  75. Fuchun Li, 2010. "Identifying Asymmetric Comovements of International Stock Market Returns," Working Papers, Bank of Canada 10-21, Bank of Canada.
  76. Guidolin, Massimo, 2003. "International asset prices and portfolio choices under Bayesian learning," Research in Economics, Elsevier, Elsevier, vol. 57(4), pages 383-437, December.
  77. Huang, Bwo-Nung & Yang, Chin-Wei & Hu, John Wei-Shan, 2000. "Causality and cointegration of stock markets among the United States, Japan and the South China Growth Triangle," International Review of Financial Analysis, Elsevier, vol. 9(3), pages 281-297.
  78. Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model," Working Paper Series in Economics and Finance 0652, Stockholm School of Economics.
  79. Caiado, Jorge & Crato, Nuno, 2008. "Identifying the evolution of stock markets stochastic structure after the euro," MPRA Paper 6609, University Library of Munich, Germany.
  80. repec:wyi:journl:002141 is not listed on IDEAS
  81. Ewing, Bradley T. & Malik, Farooq, 2005. "Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2655-2673, October.
  82. De Bandt, Olivier & Hartmann, Philipp, 2000. "Systemic risk: A survey," Working Paper Series, European Central Bank 0035, European Central Bank.
  83. Stelios D. Bekiros, 2013. "Decoupling and the Spillover Effects of the US Financial Crisis: Evidence from the BRIC Markets," Working Paper Series, The Rimini Centre for Economic Analysis 21_13, The Rimini Centre for Economic Analysis.
  84. François, LONGIN & Bruno, SOLNIK, 1998. "Correlation Structure of International Equity Markets During Extremely Volatile Periods," Les Cahiers de Recherche 646, HEC Paris.
  85. Karmakar, Madhusudan, 2010. "Information transmission between small and large stocks in the National Stock Exchange in India: An empirical study," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 50(1), pages 110-120, February.
  86. Aamir R. Hashmi & Anthony S. Tay, 2001. "Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models with Time-Varying Conditional Skewness," Departmental Working Papers, National University of Singapore, Department of Economics wp0116, National University of Singapore, Department of Economics.
  87. Gregory H. Bauer & Clara Vega, 2004. "The Monetary Origins of Asymmetric Information in International Equity Markets," Working Papers, Bank of Canada 04-47, Bank of Canada.
  88. Yannick LE PEN & Benoît SEVI, 2008. "Volatility transmission and volatility impulse response functions in European electricity forward markets," Cahiers du CREDEN (CREDEN Working Papers), CREDEN (Centre de Recherche en Economie et Droit de l'Energie), Faculty of Economics, University of Montpellier 1 08.09.77, CREDEN (Centre de Recherche en Economie et Droit de l'Energie), Faculty of Economics, University of Montpellier 1.
  89. 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, University of Connecticut, Department of Economics 2008-49, University of Connecticut, Department of Economics.
  90. Nikkinen, Jussi & Sahlstrom, Petri, 2004. "International transmission of uncertainty implicit in stock index option prices," Global Finance Journal, Elsevier, vol. 15(1), pages 1-15.
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  92. Christos Kollias & Stephanos Papadamou & Costas Siriopoulos, 2013. "European Markets’ Reactions to Exogenous Shocks: A High Frequency Data Analysis of the 2005 London Bombings," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 1(4), pages 154-167, November.
  93. Michael Ehrmann & Marcel Fratzscher, 2006. "Global Financial Transmission of Monetary Policy Shocks," CESifo Working Paper Series 1710, CESifo Group Munich.
  94. Bhattacharjee, Kaushik & Bang, Nupur Pavan & Mamidanna, Sravya, 2014. "Transmission of pricing information between level III ADRs and their underlying domestic stocks: Empirical evidence from India," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 24(C), pages 43-59.
  95. Billio, Monica & Pelizzon, Loriana, 2003. "Volatility and shocks spillover before and after EMU in European stock markets," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 13(4-5), pages 323-340, December.
  96. Longin, François & Solnik, Bruno H, 2000. "Extreme Correlation of International Equity Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers 2538, C.E.P.R. Discussion Papers.
  97. Simone Manganelli & Lorenzo Cappiello & Bruno Gerard, 2004. "The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles," Econometric Society 2004 Latin American Meetings, Econometric Society 77, Econometric Society.
  98. Balli, Faruk & Basher, Syed Abul & Jean Louis, Rosmy, 2013. "Sectoral equity returns and portfolio diversification opportunities across the GCC region," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 25(C), pages 33-48.
  99. Rua, António & Nunes, Luís C., 2009. "International comovement of stock market returns: A wavelet analysis," Journal of Empirical Finance, Elsevier, Elsevier, vol. 16(4), pages 632-639, September.
  100. S. T. M. Straetmans & W. F. C. Verschoor & C. C. P. Wolff, 2008. "Extreme US stock market fluctuations in the wake of 9|11," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 23(1), pages 17-42.
  101. Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2011. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 948-974, 09.
  102. Corradi, Valentina & Distaso, Walter & Fernandes, Marcelo, 2012. "International market links and volatility transmission," Journal of Econometrics, Elsevier, Elsevier, vol. 170(1), pages 117-141.
  103. Fung, Hung-Gay & Tse, Yiuman & Zhao, Lin, 2013. "Are stock markets in Asia related to carry trade?," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 25(C), pages 200-216.
  104. Silvennoinen, Annastiina & Teräsvirta, Timo, 2005. "Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations," Working Paper Series in Economics and Finance 577, Stockholm School of Economics, revised 01 Oct 2005.
  105. Pascual-Fuster, Bartolome & Perez-Rodriguez, Jorge V., 2007. "Volatility transmission for cross-listed firms and the role of international exposure," Japan and the World Economy, Elsevier, Elsevier, vol. 19(3), pages 303-328, August.
  106. G. Andrew Karolyi & Rene Stulz, . "Why do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements using ADRS," Research in Financial Economics 9501, Ohio State University.
  107. Stephen J. Brown & William N. Goetzmann & Takato Hiraki & Noriyoshi Shirishi & Masahiro Watanabe, 2003. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," NBER Working Papers 9470, National Bureau of Economic Research, Inc.
  108. 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.
  109. Aityan, Sergey K. & Ivanov-Schitz, Alexey K. & Izotov, Sergey S., 2010. "Time-shift asymmetric correlation analysis of global stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 20(5), pages 590-605, December.
  110. G. Mujtaba Mian & Christopher M. Adam, 2000. "Does More Market-Wide Information Originate While an Exchange is Open: Some Anomalous Evidence from the ASX," Australian Journal of Management, Australian School of Business, Australian School of Business, vol. 25(3), pages 339-352, December.
  111. Tse, Yiuman, 1998. "International transmission of information: evidence from the Euroyen and Eurodollar futures markets," Journal of International Money and Finance, Elsevier, Elsevier, vol. 17(6), pages 909-929, December.
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  113. Candelon, Bertrand & Piplack, Jan & Straetmans, Stefan, 2008. "On measuring synchronization of bulls and bears: The case of East Asia," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1022-1035, June.
  114. Sadorsky, Perry, 2012. "Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies," Energy Economics, Elsevier, Elsevier, vol. 34(1), pages 248-255.
  115. Arago-Manzana, Vicent & Fernandez-Izquierdo, Maria Angeles, 2007. "Influence of structural changes in transmission of information between stock markets: A European empirical study," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 17(2), pages 112-124, April.
  116. Dorota Witkowska & Krzysztof Kompa & Aleksandra Matuszewska-Janica, 2012. "Analysis of Linkages between Central and Eastern European Capital Markets," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, Uniwersytet Mikolaja Kopernika, vol. 12, pages 19-34.
  117. 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.
  118. Viviana Fernandez, 2004. "Time-Scale Decomposition of Price Transmission in International Markets," Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile 189, Centro de Economía Aplicada, Universidad de Chile.
  119. Sequeira, John M. & Lan, Dong, 2003. "Does world-level volatility matter for the average firm in a global equity market?," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 13(4-5), pages 341-357, December.
  120. Malik, Farooq & Hammoudeh, Shawkat, 2007. "Shock and volatility transmission in the oil, US and Gulf equity markets," International Review of Economics & Finance, Elsevier, Elsevier, vol. 16(3), pages 357-368.
  121. 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.
  122. Nilsson, Birger, 2002. "International Asset Pricing and the Benefits from World Market Diversification," Working Papers, Lund University, Department of Economics 2002:1, Lund University, Department of Economics.
  123. 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.
  124. 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.
  125. 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.
  126. Olan T. Henry & Nilss Olekalns & Kalvinder Shields, 2004. "Time Variation And Asymmetry In The World Price Of Covariance Risk: The Implications For International Diversification," Department of Economics - Working Papers Series, The University of Melbourne 907, The University of Melbourne.
  127. Ahoniemi, Katja & Lanne, Markku, 2010. "Realized volatility and overnight returns," Research Discussion Papers 19/2010, Bank of Finland.
  128. 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.
  129. Saleem, Kashif, 2008. "International linkage of the Russian market and the Russian financial crisis: A multivariate GARCH analysis," BOFIT Discussion Papers, Bank of Finland, Institute for Economies in Transition 8/2008, Bank of Finland, Institute for Economies in Transition.
  130. 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, Elsevier, vol. 11(3), pages 250-260, September.
  131. Takatoshi Ito & Wen-Ling Lin, 1993. "Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets," NBER Working Papers 4592, National Bureau of Economic Research, Inc.
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