Threshold effect in international linkage of stock prices
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References listed on IDEAS
- Koutmos, Gregory & Booth, G Geoffrey, 1995. "Asymmetric volatility transmission in international stock markets," Journal of International Money and Finance, Elsevier, vol. 14(6), pages 747-762, December.
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- 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, vol. 61(2), pages 175-201.
- Yoshiro Tsutsui & Kenjiro Hirayama, 2008. "How Fast Do Tokyo and New York Stock Exchanges Respond to Each Other?: An Analysis with High-Frequency Data," Discussion Papers in Economics and Business 08-32, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
- 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).
- Yoshiro Tsutsui & Kenjiro Hirayama, 2004. "Market Efficiency and International Linkage of Stock Prices: An Analysis with High-Frequency Data," ISER Discussion Paper 0620, Institute of Social and Economic Research, Osaka University.
- Yoshiro Tsutsui & Kenjiro Hirayama, 2003. "Market Efficiency and International Linkage of Stock Prices: An Analysis with High-Frequency Data," Discussion Papers in Economics and Business 03-04-Rev, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP), revised Oct 2004.
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- Yutaka Kurihara, 2016. "Deterministic Elements of Japanese Stock Prices under Low Interest Rates," Journal of Economic and Financial Studies (JEFS), LAR Center Press, vol. 4(2), pages 24-30, April.
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"International nonlinear causality between stock markets,"
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- Gunther Capelle-Blancard & Hélène Raymond-Feingold & Michel Beine, 2008. "International nonlinear causality between stock markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00305387, HAL.
- Michel Beine & Gunther Capelle-Blancard & Hélène Raymond, 2008. "International nonlinear causality between stock markets," ULB Institutional Repository 2013/167466, ULB -- Universite Libre de Bruxelles.
- 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.
- Tsutsui, Yoshiro & Hirayama, Kenjiro, 2004. "Are international portfolio adjustments a cause of comovements in stock prices?," Pacific-Basin Finance Journal, Elsevier, vol. 12(4), pages 463-478, September.
- 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.
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