The relationship between developed equity markets and the Pacific Basin's emerging equity markets
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Wu, Chunchi & Su, Youg-Chern, 1998. "Dynamic relations among international stock markets," International Review of Economics & Finance, Elsevier, vol. 7(1), pages 63-84.
- A. G. Malliaris & Jorge L. Urrutia, 2005.
"The International Crash of October 1987: Causality Tests,"
World Scientific Book Chapters,in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 16, pages 251-262
World Scientific Publishing Co. Pte. Ltd..
- Malliaris, A. G. & Urrutia, Jorge L., 1992. "The International Crash of October 1987: Causality Tests," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(03), pages 353-364, September.
- Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters,in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665 National Bureau of Economic Research, Inc.
- Y. Angela Liu & Ming-Shiun Pan, 1997. "Mean and Volatility Spillover Effects in the U.S. and Pacific–Basin Stock Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 1(1), pages 47-62, March.
- Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 241-256, June.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Groenwold, Nicolaas & Tang, Sam Hak Kan & Wu, Yanrui, 2004.
"The dynamic interrelationships between the greater China share markets,"
China Economic Review,
Elsevier, vol. 15(1), pages 45-62, January.
- Nicolaas Groenewold & Sam Hak Kan Tang & Yanrui Wu, 2002. "The Dynamic Interrelationships Between the Greater China Share Markets," Economics Discussion / Working Papers 02-02, The University of Western Australia, Department of Economics.
- Rizwan Mushtaq & Syed Zulfiqar Ali Shah, 2014. "International Portfolio Diversification: United States and South Asian Equity Markets," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 61(2), pages 241-252, March.
- Ozdemir, Zeynel Abidin & Olgun, Hasan & Saracoglu, Bedriye, 2009. "Dynamic linkages between the center and periphery in international stock markets," Research in International Business and Finance, Elsevier, vol. 23(1), pages 46-53, January.
- Shahzad, Syed Jawad Hussain & Ahmed, Tanveer & Rehman, Mobeen Ur & Zakaria, Muhammad, 2014. "Relationship between Developed, Emerging and South Asian Equity Markets: Empirical Evidence with a Multivariate Framework Analysis," MPRA Paper 60398, University Library of Munich, Germany.
- Ibrahim, M.H, 2004. "A VAR Analysis of US and Japanese Effects on Malaysian Aggregate and Sectoral Output," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 1(1), pages 5-28.
- Shahzad, Syed Jawad Hussain & Zakaria, Muhammad & Rehman, Mobeen ur & Ahmed, Tanveer & Khalid, Saniya, 2014. "Co-Movement of Pakistan Stock Exchange with India, S&P 500 and Nikkei 225: A Time-frequency (Wavelets) Analysis," MPRA Paper 60579, University Library of Munich, Germany.
- Yunus Kilic & Mehmet Fatih Bugan, 2016. "Are Islamic Equity Markets “Safe Havens”? Testing the Contagion Effect using DCC-GARCH," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 6(4), pages 167-176, October.
- Kittiakarasakun, Jullavut & Tse, Yiuman, 2011. "Modeling the fat tails in Asian stock markets," International Review of Economics & Finance, Elsevier, vol. 20(3), pages 430-440, June.
- Saiti, Buerhan & Bacha, Obiyathulla & Masih, Mansur, 2014. "Is the global leadership of the US financial market over other financial markets shaken by 2007-2009 financial crisis? Evidence from Wavelet Analysis," MPRA Paper 57064, University Library of Munich, Germany.
- Xindan Li & Bing Zhang, 2013. "Spillover and Cojumps Between the U.S. and Chinese Stock Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(S2), pages 23-42, March.
- Ozdemir, Zeynel Abidin, 2009. "Linkages between international stock markets: A multivariate long-memory approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(12), pages 2461-2468.
- Lin, Anchor Y. & Swanson, Peggy E., 2008. "U.S. investors and global equity markets," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 83-107.
- Gutierrez, Jose A. & Martinez, Valeria & Tse, Yiuman, 2009. "Where does return and volatility come from? The case of Asian ETFs," International Review of Economics & Finance, Elsevier, vol. 18(4), pages 671-679, October.
- Withanage, Yeshan & Jayasinghe, Prabhath, 2017. "Volatility Spillovers between South Asian Stock Markets: Evidence from Sri Lanka, India and Pakistan," MPRA Paper 82782, University Library of Munich, Germany, revised Nov 2017.
- Chan Leong, Su & Felmingham, Bruce, 2003. "The interdependence of share markets in the developed economies of East Asia," Pacific-Basin Finance Journal, Elsevier, vol. 11(2), pages 219-237, April.
- Dicle, Mehmet F. & Beyhan, Aydin & Yao, Lee J., 2010. "Market efficiency and international diversification: Evidence from India," International Review of Economics & Finance, Elsevier, vol. 19(2), pages 313-339, April.
- Zhang, Bing & Li, Xiao-Ming, 2014. "Has there been any change in the comovement between the Chinese and US stock markets?," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 525-536.
- George Milunovich, 2004. "Modeling dependence structure in size-sorted portfolios: A Structural Multivariate GARCH Model," Econometric Society 2004 Australasian Meetings 55, Econometric Society.
- Kim, Suk-Joong, 2005. "Information leadership in the advanced Asia-Pacific stock markets: Return, volatility and volume information spillovers from the US and Japan," Journal of the Japanese and International Economies, Elsevier, vol. 19(3), pages 338-365, September.
- 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.
- Sowmya Dhanaraj & Arun Kumar Gopalaswamy & Suresh Babu M, 2013. "Dynamic interdependence between US and Asian markets: an empirical study," Journal of Financial Economic Policy, Emerald Group Publishing, vol. 5(2), pages 220-237, April.
- Olgun, Hasan & Ozdemir, Zeynel Abidin, 2008. "Linkages between the center and periphery stock prices: Evidence from the vector ARFIMA model," Economic Modelling, Elsevier, vol. 25(3), pages 512-519, May.
- Wang, Xue & Yao, Lee J. & Fang, Victor, 2013. "Stock prices and the location of trade: Evidence from China-backed ADRs," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 677-688.
- Syed Muhammad Aamir Shah & Muhammad Husnain & Ashraf Ali, 2012. "Is Pakistani Equity Market Integrated to the Equity Markets of Group of Eight (G8) Countries? An Empirical Analysis of Karachi Stock Exchange," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 15(45), pages 289-324, September.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:reveco:v:9:y:2000:i:4:p:299-322. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/inca/620165 .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.