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Time-varying dependence in European equity markets: A contagion and investor sentiment driven analysis

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  1. Liu, Xueyong & Chen, Zhihua & Chen, Zhensong & Yao, Yinhong, 2022. "The time-varying spillover effect of China’s stock market during the COVID-19 pandemic," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 603(C).
  2. Bouteska, Ahmed & Sharif, Taimur & Abedin, Mohammad Zoynul, 2023. "COVID-19 and stock returns: Evidence from the Markov switching dependence approach," Research in International Business and Finance, Elsevier, vol. 64(C).
  3. Huang, Junbo & Tian, Huiting & Shen, Weibing, 2023. "Characteristics and mechanisms of the U.S. stock market spillover effects on the Chinese A-share market: Evidence from 6 A-share broad-based and 31 sector indices," International Review of Financial Analysis, Elsevier, vol. 87(C).
  4. Cody Yu-Ling Hsiao & James Morley, 2022. "Debt and financial market contagion," Empirical Economics, Springer, vol. 62(4), pages 1599-1648, April.
  5. Foglia, Matteo & Addi, Abdelhamid & Angelini, Eliana, 2022. "The Eurozone banking sector in the time of COVID-19: Measuring volatility connectedness," Global Finance Journal, Elsevier, vol. 51(C).
  6. Bikramaditya Ghosh & Spyros Papathanasiou & Nikita Ramchandani & Dimitrios Kenourgios, 2021. "Diagnosis and Prediction of IIGPS’ Countries Bubble Crashes during BREXIT," Mathematics, MDPI, vol. 9(9), pages 1-14, April.
  7. Huynh, Toan Luu Duc & Foglia, Matteo & Doukas, John A., 2022. "COVID-19 and Tail-event Driven Network Risk in the Eurozone," Finance Research Letters, Elsevier, vol. 44(C).
  8. Wang, Yu-Min & Lin, Che-Chun & Tsai, I-Chun, 2023. "State transformation of information spillover in asset markets and effective dynamic hedging strategies," International Review of Financial Analysis, Elsevier, vol. 89(C).
  9. Zhang, Yi & Zhou, Long & Wu, Baoxiu & Liu, Fang, 2024. "Tail risk transmission from the United States to emerging stock Markets: Empirical evidence from multivariate quantile analysis," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
  10. Wang, Haiying & Yuan, Ying & Li, Yiou & Wang, Xunhong, 2021. "Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory," Economic Modelling, Elsevier, vol. 94(C), pages 401-414.
  11. Mbarki, Imen & Omri, Abdelwahed & Naeem, Muhammad Abubakr, 2022. "From sentiment to systemic risk: Information transmission in Asia-Pacific stock markets," Research in International Business and Finance, Elsevier, vol. 63(C).
  12. Gao, Jie & Fan, Chunguo & Liu, Ting & Bai, Xiuran & Li, Wenyong & Tan, Huimin, 2025. "Embracing market dynamics in the post-COVID era: A data-driven analysis of investor sentiment and behavioral characteristics in stock index futures returns," Omega, Elsevier, vol. 131(C).
  13. Xin-Zhou Qi & Zhong Ning & Meng Qin, 2022. "Economic policy uncertainty, investor sentiment and financial stability—an empirical study based on the time varying parameter-vector autoregression model," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(3), pages 779-799, July.
  14. Oussama Tilfani & Paulo Ferreira & Andreia Dionisio & My Youssef El Boukfaoui, 2020. "EU Stock Markets vs. Germany, UK and US: Analysis of Dynamic Comovements Using Time-Varying DCCA Correlation Coefficients," JRFM, MDPI, vol. 13(5), pages 1-23, May.
  15. Alanya-Beltran Willy, 2023. "Modelling volatility dependence with score copula models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 27(5), pages 649-668, December.
  16. Hong, Yanran & Wang, Lu & Liang, Chao & Umar, Muhammad, 2022. "Impact of financial instability on international crude oil volatility: New sight from a regime-switching framework," Resources Policy, Elsevier, vol. 77(C).
  17. Zhang, Yi & Zhou, Long & Liu, Zhidong & Wu, Baoxiu, 2024. "Herding behaviour towards high order systematic risks and the contagion Effect—Evidence from BRICS stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
  18. Nadeem, Nasir & Jadoon, Imran Abbas & Aslam, Faheem & Ferreira, Paulo, 2025. "Time-frequency connectedness and volatility spillovers among green equity sectors: A novel TVP-VAR frequency connectedness approach," Energy, Elsevier, vol. 328(C).
  19. Blasco, Natividad & Casas, Luis & Ferreruela, Sandra, 2024. "Does war spread the herding effect in stock markets? Evidence from emerging and developed markets during the Russia-Ukraine war," Finance Research Letters, Elsevier, vol. 63(C).
  20. Benkraiem, Ramzi & Garfatta, Riadh & Lakhal, Faten & Zorgati, Imen, 2022. "Financial contagion intensity during the COVID-19 outbreak: A copula approach," International Review of Financial Analysis, Elsevier, vol. 81(C).
  21. Fuertes, Ana-Maria & Robles, Maria-Dolores, 2021. "Bank credit risk events and peers' equity value," International Review of Financial Analysis, Elsevier, vol. 75(C).
  22. Filip, Angela Maria & Pochea, Maria Miruna, 2023. "Intentional and spurious herding behavior: A sentiment driven analysis," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).
  23. Florin Teodor Boldeanu & José Antonio Clemente-Almendros & Ileana Tache & Luis Alberto Seguí-Amortegui, 2022. "Is ESG Relevant to Electricity Companies during Pandemics? A Case Study on European Firms during COVID-19," Sustainability, MDPI, vol. 14(2), pages 1-17, January.
  24. Jiang, Kunliang & Ye, Wuyi, 2022. "Does the asymmetric dependence volatility affect risk spillovers between the crude oil market and BRICS stock markets?," Economic Modelling, Elsevier, vol. 117(C).
  25. Yuan, Ying & Wang, Haiying & Jin, Xiu, 2022. "Pandemic-driven financial contagion and investor behavior: Evidence from the COVID-19," International Review of Financial Analysis, Elsevier, vol. 83(C).
  26. Zhang, Yi & Zhou, Long & Chen, Yajiao & Liu, Fang, 2022. "The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
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