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Comovement of International Equity Markets: A Taxonomic Approach

Citations

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Cited by:

  1. Li Yang & Francis Tapon & Yiguo Sun, 2006. "International correlations across stock markets and industries: trends and patterns 1988-2002," Applied Financial Economics, Taylor & Francis Journals, vol. 16(16), pages 1171-1183.
  2. 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.
  3. Kyosuke Shiotani & Yoichi Matsubayashi, 2013. "Financial Market Linkage In East Asian Countries," World Scientific Book Chapters, in: Takuji Kinkyo & Yoichi Matsubayashi & Shigeyuki Hamori (ed.), Global Linkages and Economic Rebalancing in East Asia, chapter 3, pages 43-63, World Scientific Publishing Co. Pte. Ltd..
  4. Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2011. "The Japanese economy in crises: A time series segmentation study," Economics Discussion Papers 2011-24, Kiel Institute for the World Economy (IfW Kiel).
  5. Chen, Mei-Ping & Chen, Pei-Fen & Lee, Chien-Chiang, 2014. "Frontier stock market integration and the global financial crisis," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 84-103.
  6. Carlos León & Geun-Young Kim & Constanza Martínez & Daeyup Lee, 2017. "Equity markets’ clustering and the global financial crisis," Quantitative Finance, Taylor & Francis Journals, vol. 17(12), pages 1905-1922, December.
  7. Saumitra N. Bhaduri & Ashwin Andrew Samuel, 2009. "International Equity Market Integration," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(1), pages 45-66, April.
  8. Michel Beine & Gunther Capelle-Blancard & Helene Raymond, 2008. "International nonlinear causality between stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 14(8), pages 663-686.
  9. Tom JACOB & LITTLEFLOWER P. J, 2022. "Cointegration and stock market interdependence: Evidence from India and selected Asian and African stock markets," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(4(633), W), pages 133-146, Winter.
  10. Lucey, Brian M. & Voronkova, Svitlana, 2005. "Russian equity market linkages before and after the 1998 crisis : evidence from time-varying and stochastic cointegration tests," BOFIT Discussion Papers 12/2005, Bank of Finland, Institute for Economies in Transition.
  11. Eduard Baum??hl & ??tefan Ly??csa, 2014. "How smooth is the stock market integration of CEE-3?," William Davidson Institute Working Papers Series wp1079, William Davidson Institute at the University of Michigan.
  12. 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;Japanese Association of Financial Economics and Engineering, vol. 5(3), pages 191-209, November.
  13. Yanhua Chen & Rosario N Mantegna & Athanasios A Pantelous & Konstantin M Zuev, 2018. "A dynamic analysis of S&P 500, FTSE 100 and EURO STOXX 50 indices under different exchange rates," PLOS ONE, Public Library of Science, vol. 13(3), pages 1-40, March.
  14. 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.
  15. Anubha Goel & Damir Filipovi'c & Puneet Pasricha, 2024. "Sparse Portfolio Selection via Topological Data Analysis based Clustering," Papers 2401.16920, arXiv.org, revised Dec 2024.
  16. Robert Aliber, 1978. "The integration of National financial markets: A review of theory and findings," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 114(3), pages 448-480, September.
  17. Wahab, Mahmoud, 2012. "Asymmetric effects of U.S. stock returns on European equities," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 156-172.
  18. R. Dacco & S. Satchell, 2001. "Forward and spot exchange rates in a bivariate TAR framework," The European Journal of Finance, Taylor & Francis Journals, vol. 7(2), pages 131-143.
  19. 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, vol. 139(2), pages 351-370, June.
  20. Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2012. "The Japanese economy in crises: A time series segmentation study," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 6, pages 1-81.
  21. Bashir Ahmad Joo & Younis Ahmed Ghulam & Simtiha Ishaq Mir, 2023. "Symmetric and asymmetric volatility spillover among BRICS countries' stock markets," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 50(4), pages 473-488, December.
  22. Ming-Shiun Pan & Y. Angela Liu & Herbert Roth, 2001. "Term structure of return correlations and international diversification: evidence from European stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 7(2), pages 144-164.
  23. Brian Hatch & Bruce Resnick, 1993. "A review of recent developments in international portfolio selection," Open Economies Review, Springer, vol. 4(1), pages 83-96, March.
  24. Hon, Mark T. & Strauss, Jack K. & Yong, Soo-Keong, 2007. "Deconstructing the Nasdaq bubble: A look at contagion across international stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(3), pages 213-230, July.
  25. Eduard Baumöhl & Mária Farkašovská & Tomáš Výrost, 2010. "Integrácia akciových trhov: DCC MV-GARCH model [Stock Market Integration: DCC MV-GARCH Model]," Politická ekonomie, Prague University of Economics and Business, vol. 2010(4), pages 488-503.
  26. Yi Zheng & Heng Chen, 2011. "Who is More Important – a Leading Power or a Close Neighbor?," Chapters, in: Lilai Xu (ed.), China’s Economy in the Post-WTO Environment, chapter 1, Edward Elgar Publishing.
  27. 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.
  28. Dorota Witkowska & Krzysztof Kompa & Aleksandra Matuszewska-Janica, 2012. "Analysis of Linkages between Central and Eastern European Capital Markets," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 12, pages 19-34.
  29. Tang, Gordon Y. N., 1996. "Intervalling Effect on Intertemporal Stability among Asian Emerging Markets and Developed Markets," Journal of Business Research, Elsevier, vol. 36(3), pages 257-265, July.
  30. Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised Nov 2020.
  31. Vo, Xuan Vinh, 2009. "International financial integration in Asian bond markets," Research in International Business and Finance, Elsevier, vol. 23(1), pages 90-106, January.
  32. Bram Daelemans & Joseph P. Daniels & Farrokh Nourzad, 2018. "Free Trade Agreements and Volatility of Stock Returns and Exchange Rates: Evidence from NAFTA," Open Economies Review, Springer, vol. 29(1), pages 141-163, February.
  33. Das, Debojyoti & Bhowmik, Puja & Jana, R.K., 2018. "A multiscale analysis of stock return co-movements and spillovers: Evidence from Pacific developed markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 379-393.
  34. Lucey, Brian M. & Voronkova, Svitlana, 2008. "Russian equity market linkages before and after the 1998 crisis: Evidence from stochastic and regime-switching cointegration tests," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1303-1324, December.
  35. Sang Bin Lee & Kwang Jung Kim, 1993. "Does The October 1987 Crash Strengthen The Co‐Movements Among National Stock Markets?," Review of Financial Economics, John Wiley & Sons, vol. 3(1), pages 89-102, September.
  36. Billio, M. & Donadelli, M. & Paradiso, A. & Riedel, M., 2017. "Which market integration measure?," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 150-174.
  37. A. Tahai & Robert Rutledge & Khondkar Karim, 2004. "An examination of financial integration for the group of seven (G7) industrialized countries using an I( ) cointegration model," Applied Financial Economics, Taylor & Francis Journals, vol. 14(5), pages 327-335.
  38. José Dias & Sofia Ramos, 2014. "The aftermath of the subprime crisis: a clustering analysis of world banking sector," Review of Quantitative Finance and Accounting, Springer, vol. 42(2), pages 293-308, February.
  39. George Amfo-Antiri & Edward Quansah, 2017. "Cointegration of Stock Prices and Domestic Portfolio Diversification Opportunities: Evidence from the Ghana Stock Exchange," Applied Economics and Finance, Redfame publishing, vol. 4(5), pages 78-93, September.
  40. Bracker, Kevin & Koch, Paul D., 1999. "Economic determinants of the correlation structure across international equity markets," Journal of Economics and Business, Elsevier, vol. 51(6), pages 443-471.
  41. 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.
  42. 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.
  43. Hassan, M. Kabir & Naka, Atsuyuki, 1996. "Short-run and long-run dynamic linkages among international stock markets," International Review of Economics & Finance, Elsevier, vol. 5(4), pages 387-405.
  44. Evangelos Drimbetas & Nikolaos Sariannidis & Nicos Porfiris, 2007. "The effect of derivatives trading on volatility of the underlying asset: evidence from the Greek stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 17(2), pages 139-148.
  45. 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, vol. 47(2), pages 352-365, May.
  46. Durai, S. Raja Sethu & Bhaduri, Saumitra N., 2011. "Correlation dynamics in equity markets: evidence from India," Research in International Business and Finance, Elsevier, vol. 25(1), pages 64-74, January.
  47. Solarin Sakiru Adebola & Jauhari Dahalan, 2012. "An Empirical Analysis of Stock Markets Integration in Selected African Countries," EuroEconomica, Danubius University of Galati, issue 2(31), pages 166-177, May.
  48. repec:zbw:bofitp:2005_012 is not listed on IDEAS
  49. Zhang, Yiting & Lee, Gladys Hui Ting & Wong, Jian Cheng & Kok, Jun Liang & Prusty, Manamohan & Cheong, Siew Ann, 2011. "Will the US economy recover in 2010? A minimal spanning tree study," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(11), pages 2020-2050.
  50. Kearney, Colm & Lucey, Brian M., 2004. "International equity market integration: Theory, evidence and implications," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 571-583.
  51. Abhyankar, Abhay H., 1995. "Trading-round-the clock: Return, volatility and volume spillovers in the Eurodollar futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 3(1), pages 75-92, May.
  52. Mann, Steven V. & Moore, William T. & Ramanlal, Pradipkumar, 1995. "International transmission of monthly changes in equity values," International Review of Economics & Finance, Elsevier, vol. 4(4), pages 373-385.
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