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Industrial Structure and the Comparative Behavior of International Stock Market Indices

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Cited by:

  1. Theodore Bos & Thomas Fetherston & Teppo Martikainen & Jukka Perttunen, 1995. "The international co-movements of Finish stocks," The European Journal of Finance, Taylor & Francis Journals, vol. 1(1), pages 95-111.
  2. Nijman, Theo & Swinkels, Laurens & Verbeek, Marno, 2004. "Do countries or industries explain momentum in Europe?," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 461-481, September.
  3. Mensah, Jones Odei & Premaratne, Gamini, 2017. "Systemic interconnectedness among Asian Banks," Japan and the World Economy, Elsevier, vol. 41(C), pages 17-33.
  4. Kathleen M. Kahle & Ralph A. Walkling, "undated". "The Impact of Industry Classifications on Financial Research," Research in Financial Economics 9607, Ohio State University.
  5. Huo, Rui & Ahmed, Abdullahi D., 2017. "Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect," Economic Modelling, Elsevier, vol. 61(C), pages 260-272.
  6. John Ammer & Jianping Mei, 1995. "Strategic returns to international diversification: An application to the equity markets of Europe, Japan and North America," European Financial Management, European Financial Management Association, vol. 1(1), pages 49-59, March.
  7. Lieven Moor & Piet Sercu, 2010. "Country v sector effects in equity returns and the roles of geographical and firm-size coverage," Small Business Economics, Springer, vol. 35(4), pages 433-448, November.
  8. Yilmaz, Mustafa K. & Sensoy, Ahmet & Ozturk, Kevser & Hacihasanoglu, Erk, 2015. "Cross-sectoral interactions in Islamic equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 32(C), pages 1-20.
  9. Jesús Muñoz & P. Nicholas Snowden, 2006. "Floating without flotations-the exchange rate and the Mexican stock market: 1995-2001," Journal of International Development, John Wiley & Sons, Ltd., vol. 18(3), pages 299-318.
  10. Yochanan Shachmurove, 2001. "Dynamic Co-movements of Stock Indices: The Emerging Middle Eastern and the United States Markets," Penn CARESS Working Papers ddffc4204cf90a8523fb64134, Penn Economics Department.
  11. Beine, Michel & Cosma, Antonio & Vermeulen, Robert, 2010. "The dark side of global integration: Increasing tail dependence," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 184-192, January.
  12. Chung, Richard & Kryzanowski, Lawrence, 2001. "Tests of investor cognizance using earnings forecasts of North American analysts," International Review of Economics & Finance, Elsevier, vol. 10(2), pages 187-204.
  13. Cunha, P.A.M.F.V., 2005. "The value of cooperation : Studies on the performance outcomes of interorganizational alliances," Other publications TiSEM 59466e6c-1920-461e-b5e9-b, Tilburg University, School of Economics and Management.
  14. Lieven Baele & Koen Inghelbrecht, 2005. "Structural versus Temporary Drivers of Country and Industry Risk," International Finance 0511005, University Library of Munich, Germany.
  15. Bekaert, Geert & Harvey, Campbell R., 1997. "Emerging equity market volatility," Journal of Financial Economics, Elsevier, vol. 43(1), pages 29-77, January.
  16. Sensoy, Ahmet & Sobaci, Cihat, 2014. "Effects of volatility shocks on the dynamic linkages between exchange rate, interest rate and the stock market: The case of Turkey," Economic Modelling, Elsevier, vol. 43(C), pages 448-457.
  17. Leachman, Lori L. & Francis, Bill, 1996. "Equity market return volatility: Dynamics and transmission among the G-7 countries," Global Finance Journal, Elsevier, vol. 7(1), pages 27-52.
  18. Nusair, Salah A. & Olson, Dennis, 2022. "Dynamic relationship between exchange rates and stock prices for the G7 countries: A nonlinear ARDL approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
  19. M. Barari & Brian Lucey & S. Voronkova, 2008. "Reassessing co-movements among G7 equity markets: evidence from iShares," Applied Financial Economics, Taylor & Francis Journals, vol. 18(11), pages 863-877.
  20. Claire G.Gilmore & Brian Lucey & Ginette M.McManus, 2005. "The Dynamics of Central European Equity Market Integration," The Institute for International Integration Studies Discussion Paper Series iiisdp069, IIIS.
  21. Morales-Zumaquero, Amalia & Sosvilla-Rivero, Simón, 2018. "Volatility spillovers between foreign exchange and stock markets in industrialized countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 121-136.
  22. Peter Christoffersen & Vihang Errunza & Kris Jacobs & Hugues Langlois, 2012. "Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach," Review of Financial Studies, Society for Financial Studies, vol. 25(12), pages 3711-3751.
  23. Lee, Chien-Chiang & Chen, Mei-Ping & Chang, Chi-Hung, 2013. "Dynamic relationships between industry returns and stock market returns," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 119-144.
  24. Tse, Yiuman, 1998. "International transmission of information: evidence from the Euroyen and Eurodollar futures markets," Journal of International Money and Finance, Elsevier, vol. 17(6), pages 909-929, December.
  25. Lewis, Karen K., 1995. "Puzzles in international financial markets," Handbook of International Economics, in: G. M. Grossman & K. Rogoff (ed.), Handbook of International Economics, edition 1, volume 3, chapter 37, pages 1913-1971, Elsevier.
  26. Walid, Chkili & Chaker, Aloui & Masood, Omar & Fry, John, 2011. "Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach," Emerging Markets Review, Elsevier, vol. 12(3), pages 272-292, September.
  27. Andreas Kamp & Andreas Pfingsten & Thilo Liebig, 2007. "Diversifikation oder Spezialisierung — Eine Branchenanalyse der Kreditportfolios der Banken in Deutschland," Schmalenbach Journal of Business Research, Springer, vol. 59(57), pages 1-38, January.
  28. Sabur Mollah & Asma Mobarek, 2009. "Market volatility across countries – evidence from international markets," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 26(4), pages 257-274, October.
  29. Kristin J. Forbes & Menzie D. Chinn, 2004. "A Decomposition of Global Linkages in Financial Markets Over Time," The Review of Economics and Statistics, MIT Press, vol. 86(3), pages 705-722, August.
  30. Astudillo, Alfonso & Braun, Matías & Castañeda, Pablo, 2011. "The going public decision and the structure of equity markets," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1451-1470.
  31. Maximilian Vermorken & Ariane Szafarz & Hugues Pirotte, 2008. "Sector classification through non-Gaussian similarity," Working Papers CEB 08-032.RS, ULB -- Universite Libre de Bruxelles.
  32. Michael E. Drew & Leonard Chong, 2002. "Stock Market Interdependence: Evidence from Australia," School of Economics and Finance Discussion Papers and Working Papers Series 106, School of Economics and Finance, Queensland University of Technology.
  33. David Bessler & James Kolari & Thein Maung, 2011. "Dynamic linkages among equity markets: local versus basket currencies," Applied Economics, Taylor & Francis Journals, vol. 43(14), pages 1703-1719.
  34. 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.
  35. Campbell, John Y & Kim, Sangjoon & Lettau, Martin, 1998. "Dispersion and Volatility in Stock Returns: An Empirical Investigation," CEPR Discussion Papers 1923, C.E.P.R. Discussion Papers.
  36. Tavares, José, 2009. "Economic integration and the comovement of stock returns," Economics Letters, Elsevier, vol. 103(2), pages 65-67, May.
  37. Ruipeng Liu & Riza Demirer & Rangan Gupta & Mark E. Wohar, 2017. "Do Bivariate Multifractal Models Improve Volatility Forecasting in Financial Time Series? An Application to Foreign Exchange and Stock Markets," Working Papers 201728, University of Pretoria, Department of Economics.
  38. Meric, Ilhan & Ratner, Mitchell & Meric, Gulser, 2008. "Co-movements of sector index returns in the world's major stock markets in bull and bear markets: Portfolio diversification implications," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 156-177.
  39. Ehling, Paul & Ramos, Sofia B., 2006. "Geographic versus industry diversification: Constraints matter," Journal of Empirical Finance, Elsevier, vol. 13(4-5), pages 396-416, October.
  40. Diamandis, Panayiotis F. & Drakos, Anastassios A., 2011. "Financial liberalization, exchange rates and stock prices: Exogenous shocks in four Latin America countries," Journal of Policy Modeling, Elsevier, vol. 33(3), pages 381-394, May.
  41. Castro, F. Henrique & Santana, Verônica, 2018. "Informativeness of stock prices after IFRS adoption in Brazil," Journal of Multinational Financial Management, Elsevier, vol. 47, pages 46-59.
  42. Gupta, Rakesh & Guidi, Francesco, 2012. "Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets," International Review of Financial Analysis, Elsevier, vol. 21(C), pages 10-22.
  43. Roll, Richard, 1995. "An empirical survey of Indonesian equities 1985-1992," Pacific-Basin Finance Journal, Elsevier, vol. 3(2-3), pages 159-192, July.
  44. Simonne Varotto, 2001. "Credit Risk Diversification," ICMA Centre Discussion Papers in Finance icma-dp2001-07, Henley Business School, University of Reading.
  45. Braun, Gary P. & Traichal, Patrick A., 1999. "Competitiveness and the convergence of international business practice: North American evidence after NAFTA," Global Finance Journal, Elsevier, vol. 10(1), pages 107-122.
  46. Sharma, Susan Sunila & Narayan, Paresh Kumar & Zheng, Xinwei, 2014. "An analysis of firm and market volatility," Economic Systems, Elsevier, vol. 38(2), pages 205-220.
  47. Tristan Jourde, 2022. "The Rising Interconnectedness of the Insurance Sector," Working papers 857, Banque de France.
  48. Li, Jie & Li, Guangzhong & Zhou, Yinggang, 2015. "Do securitized real estate markets jump? International evidence," Pacific-Basin Finance Journal, Elsevier, vol. 31(C), pages 13-35.
  49. repec:ebl:ecbull:v:6:y:2004:i:3:p:1-13 is not listed on IDEAS
  50. Mr. Thomas Kraus, 2001. "The Impact of the EMUon the Structure of European Equity Returns: An Empirical Analysis of the First 21 Months," IMF Working Papers 2001/084, International Monetary Fund.
  51. Ye Bai & Christopher Green, 2011. "Determinants of cross-sectional stock return variations in emerging markets," Empirical Economics, Springer, vol. 41(1), pages 81-102, August.
  52. Miklós Koren, 2003. "Financial Globalization, Portfolio Diversification, and the Pattern of International Trade," IMF Working Papers 2003/233, International Monetary Fund.
  53. Jaroslav Bukovina, 2015. "Sentiment and blue-chip returns. Firm level evidence from a dynamic threshold model," MENDELU Working Papers in Business and Economics 2015-53, Mendel University in Brno, Faculty of Business and Economics.
  54. Yochanan Shachmurove, "undated". ""Dynamic Daily Returns Among Latin Americans and Other Major World Stock Markets''," CARESS Working Papres 96-03, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
  55. Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2009. "International Stock Return Comovements," Journal of Finance, American Finance Association, vol. 64(6), pages 2591-2626, December.
  56. Ragunathan, Vanitha, 1999. "Financial deregulation and integration: an Australian perspective1," Journal of Economics and Business, Elsevier, vol. 51(6), pages 505-514.
  57. 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.
  58. Shyh‐Wei Chen & Chung‐Hua Shen, 2004. "Price Common Volatility or Volume Common Volatility? Evidence from Taiwan's Exchange Rate and Stock Markets," Asian Economic Journal, East Asian Economic Association, vol. 18(2), pages 185-211, June.
  59. Berben, Robert-Paul & Jansen, W. Jos, 2005. "Comovement in international equity markets: A sectoral view," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 832-857, September.
  60. Yiwen (Paul) Dou & David R. Gallagher & David Schneider & Terry S. Walter, 2012. "Out-of-sample stock return predictability in Australia," Australian Journal of Management, Australian School of Business, vol. 37(3), pages 461-479, December.
  61. José G. Dias & Sofia B. Ramos, 2015. "An Analysis of Industry Regimes Synchronization in the Eurozone," Journal of Common Market Studies, Wiley Blackwell, vol. 53(2), pages 255-273, March.
  62. Christoffersen, Peter & Chung, Hyunchul & Errunza, Vihang, 2006. "Size matters: The impact of financial liberalization on individual firms," Journal of International Money and Finance, Elsevier, vol. 25(8), pages 1296-1318, December.
  63. Driesprong, Gerben & Jacobsen, Ben & Maat, Benjamin, 2008. "Striking oil: Another puzzle?," Journal of Financial Economics, Elsevier, vol. 89(2), pages 307-327, August.
  64. Alhassan, Abdulrahman & Basher, Syed Abul & Kabir Hassan, M., 2019. "Oil subsidies and the risk exposure of oil-user stocks: Evidence from net oil producers," Resources Policy, Elsevier, vol. 61(C), pages 461-472.
  65. Paul EHLING & Sofia B. RAMOS, 2003. "Geographical versus Industrial Diversification: A Mean Variance Spanning Approach," FAME Research Paper Series rp80, International Center for Financial Asset Management and Engineering.
  66. Flavin, Thomas J., 2004. "The effect of the Euro on country versus industry portfolio diversification," Journal of International Money and Finance, Elsevier, vol. 23(7-8), pages 1137-1158.
  67. Krause, Timothy & Tse, Yiuman, 2013. "Volatility and return spillovers in Canadian and U.S. industry ETFs," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 244-259.
  68. William N. Goetzmann & Lingfeng Li & K. Geert Rouwenhorst, 2005. "Long-Term Global Market Correlations," The Journal of Business, University of Chicago Press, vol. 78(1), pages 1-38, January.
  69. Shawky, Hany A. & Kuenzel, Rolf & Mikhail, Azmi D., 1997. "International portfolio diversification: a synthesis and an update," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(4), pages 303-327, December.
  70. Le, Trung Hai & Do, Hung Xuan & Nguyen, Duc Khuong & Sensoy, Ahmet, 2021. "Covid-19 pandemic and tail-dependency networks of financial assets," Finance Research Letters, Elsevier, vol. 38(C).
  71. Balli, Faruk & Balli, Hatice O., 2011. "Sectoral equity returns in the Euro region: Is there any room for reducing portfolio risk?," Journal of Economics and Business, Elsevier, vol. 63(2), pages 89-106.
  72. Dennis P. Quinn & Hans-Joachim Voth, 2008. "A Century of Global Equity Market Correlations," American Economic Review, American Economic Association, vol. 98(2), pages 535-540, May.
  73. Marcelo, José Luis Miralles & Quirós, José Luis Miralles & Martins, José Luís, 2013. "The role of country and industry factors during volatile times," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 273-290.
  74. Kevin Aretz & Peter F. Pope, 2013. "Common Factors in Default Risk Across Countries and Industries," European Financial Management, European Financial Management Association, vol. 19(1), pages 108-152, January.
  75. Bai, Ye & Green, Christopher J. & Leger, Lawrence, 2012. "Industry and country factors in emerging market returns: Did the Asian crisis make a difference?," Emerging Markets Review, Elsevier, vol. 13(4), pages 559-580.
  76. Griffin, John M. & Andrew Karolyi, G., 1998. "Another look at the role of the industrial structure of markets for international diversification strategies," Journal of Financial Economics, Elsevier, vol. 50(3), pages 351-373, December.
  77. Ivan Contreras & J. Ignacio Hidalgo & Laura Nuñez, 2018. "Exploring the influence of industries and randomness in stock prices," Empirical Economics, Springer, vol. 55(2), pages 713-729, September.
  78. Barari, Mahua, 2004. "Equity market integration in Latin America: A time-varying integration score analysis," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 649-668.
  79. John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2001. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Journal of Finance, American Finance Association, vol. 56(1), pages 1-43, February.
  80. Randall Morck & Bernard Yeung & Wayne Yu, 1999. "The Information Content of Stock Markets: Why Do Emerging Markets Have Synchronous Stock Price Movements?," Harvard Institute of Economic Research Working Papers 1879, Harvard - Institute of Economic Research.
  81. Söhnke M. Bartram & John M. Griffin & Tae-Hoon Lim & David T. Ng, 2015. "How Important Are Foreign Ownership Linkages for International Stock Returns?," The Review of Financial Studies, Society for Financial Studies, vol. 28(11), pages 3036-3072.
  82. Geoffrey Ngene & Ann Nduati Mungai & Allen K. Lynch, 2018. "Long-Term Dependency Structure and Structural Breaks: Evidence from the U.S. Sector Returns and Volatility," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-38, June.
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  88. Boamah, Nicholas Addai & Loudon, Geoffrey & Watts, Edward J., 2017. "Structural breaks in the relative importance of country and industry factors in African stock returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 79-88.
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  128. Salah A. Nusair & Jamal A. Al-Khasawneh, 2022. "On the relationship between Asian exchange rates and stock prices: a nonlinear analysis," Economic Change and Restructuring, Springer, vol. 55(1), pages 361-400, February.
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  131. Amit Pandey & Anil Kumar Sharma, 2023. "Effect of Index Concentration on Index Volatility and Performance," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(3), pages 559-585, September.
  132. G. Geoffrey Booth & Paul Brockman & Yiuman Tse, 1998. "The relationship between US and Canadian wheat futures," Applied Financial Economics, Taylor & Francis Journals, vol. 8(1), pages 73-80.
  133. Pyun, Chong Soo & Lee, Sa Young & Nam, Kiseok, 2000. "Volatility and information flows in emerging equity market: A case of the Korean Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 9(4), pages 405-420.
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