IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!)

Citations for "Long and short term dynamic causal transmission amongst international stock markets"

by Masih, Rumi & Masih, Abul M. M.

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Eleni Constantinou & Avo Kazandjian & George Kouretas & Vera Tahmazian, 2005. "Common Stochastic Trends among the Cyprus Stock Exchange and the ASE, LSE and NYSE," Working Papers 0520, University of Crete, Department of Economics.
  2. Boulis Ibrahim & Janusz Brzeszczynski, 2013. "Interdependence of Stock Markets Before and After the Global Financial Crisis of 2007," CFI Discussion Papers 1305, Centre for Finance and Investment, Heriot Watt University.
  3. Gozzi, Juan Carlos & Levine, Ross & Peria, Maria Soledad Martinez & Schmukler, Sergio L., 2012. "How firms use domestic and international corporate bond markets," Policy Research Working Paper Series 6209, The World Bank.
  4. Phengpis, Chanwit & Apilado, Vince P., 2004. "Economic interdependence and common stochastic trends: A comparative analysis between EMU and non-EMU stock markets," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 245-263.
  5. Idier, J., 2008. "Long term vs. short term comovements in stock markets: the use of Markov-switching multifractal models," Working papers 218, Banque de France.
  6. John Gallo & Chanwit Phengpis & Peggy Swanson, 2007. "Determinants of Equity Style," Journal of Financial Services Research, Springer;Western Finance Association, vol. 31(1), pages 33-51, February.
  7. Y.L. Cheung & Y.W. Cheung & K.C. Ng, 2003. "East Asian Equity Markets, Financial Crises, and the Japanese Currency," Working Papers 032003, Hong Kong Institute for Monetary Research.
  8. Chiang, Thomas C. & Kim, Doseong & Lee, Euiseong, 2006. "Country-fund discounts and risk: Evidence from stock market volatility and macroeconomic volatility," Journal of Economics and Business, Elsevier, vol. 58(4), pages 303-322.
  9. Andersson, Fredrik N.G. & Burzynska, Katarzyna & Opper, Sonja, 2014. "Lending for Growth? A Granger Causality Analysis of China's Finance-Growth Nexus," Knut Wicksell Working Paper Series 2014/6, Knut Wicksell Centre for Financial Studies, Lund University.
  10. Joanna Olbrys, 2013. "Price and Volatility Spillovers in the Case of Stock Markets Located in Different Time Zones," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 49(S2), pages 145-157, March.
  11. Kian-Ping Lim & Hock-Ann Lee & Venus Khim-Sen Liew, 2003. "International Diversification Benefits in ASEAN Stock Markets: a Revisit," Finance 0308003, EconWPA.
  12. Zdravkovski, Aleksandar, 2016. "Stock market integration and diversification possibilities during financial crises: Evidence from Balkan countries," MPRA Paper 72182, University Library of Munich, Germany.
  13. Buerhan Saiti & Azlan Ali & Naziruddin Abdullah & Sulaiman Sajilan, 2014. "Palm Oil Price, Exchange Rate, and Stock Market: A Wavelet Analysis on the Malaysian Market," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 2(1), pages 13-27.
  14. Benhmad, François, 2013. "Bull or bear markets: A wavelet dynamic correlation perspective," Economic Modelling, Elsevier, vol. 32(C), pages 576-591.
  15. Lee, Chien-Chiang & Huang, Wei-Ling & Yin, Chun-Hao, 2013. "The dynamic interactions among the stock, bond and insurance markets," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 28-52.
  16. Mohamed el hédi Arouri & Fredj Jawadi, 2011. "Do on/off time series models reproduce emerging stock market comovements?," Economics Bulletin, AccessEcon, vol. 31(1), pages 960-968.
  17. Chiang, Thomas C. & Zheng, Dazhi, 2010. "An empirical analysis of herd behavior in global stock markets," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1911-1921, August.
  18. 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.
  19. Anil Sharma & Neha Seth, 2012. "Literature review of stock market integration: a global perspective," Qualitative Research in Financial Markets, Emerald Group Publishing, vol. 4(1), pages 84-122, June.
  20. Theoharry Grammatikos & Robert Vermeulen, 2011. "Transmission of the Financial and Sovereign Debt Crises to the EMU: Stock Prices, CDS Spreads and Exchange Rates," DNB Working Papers 287, Netherlands Central Bank, Research Department.
  21. Li, Meng & Yang, Liang, 2013. "Modeling the volatility of futures return in rubber and oil—A Copula-based GARCH model approach," Economic Modelling, Elsevier, vol. 35(C), pages 576-581.
  22. Chanwit Phengpis & Peggy Swanson, 2011. "Optimization, cointegration and diversification gains from international portfolios: an out-of-sample analysis," Review of Quantitative Finance and Accounting, Springer, vol. 36(2), pages 269-286, February.
  23. Idier, J., 2006. "Stock exchanges industry consolidation and shock transmission," Working papers 159, Banque de France.
  24. A. Mansur & M. Masih & Rumi Masih, 2004. "Fractional cointegration, low frequency dynamics and long-run purchasing power parity: an analysis of the Australian dollar over its recent float," Applied Economics, Taylor & Francis Journals, vol. 36(6), pages 593-605.
  25. Gebka, Bartosz, 2006. "Leaders and Laggards: International Evidence on Spillovers in Returns, Variance, and Trading Volume," Working Paper Series 2006,1, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe.
  26. Qiao, Zhuo & Smyth, Russell & Wong, Wing-Keung, 2008. "Volatility switching and regime interdependence between information technology stocks 1995-2005," Global Finance Journal, Elsevier, vol. 19(2), pages 139-156.
  27. Tsani, Stela Z., 2010. "Energy consumption and economic growth: A causality analysis for Greece," Energy Economics, Elsevier, vol. 32(3), pages 582-590, May.
  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.
  29. Bilge Bakin & Gozde Gurgun, 2014. "Portfolio Investments and Asset Prices Relationship in Turkey," Proceedings of International Academic Conferences 0201138, International Institute of Social and Economic Sciences.
  30. Chen, Xiaoyu & Chiang, Thomas C., 2016. "Stock returns and economic forces—An empirical investigation of Chinese markets," Global Finance Journal, Elsevier, vol. 30(C), pages 45-65.
  31. Hock-Ann Lee & Kian-Ping Lim & Venus Khim-Sen Liew, 2009. "Is There Any International Diversification Benefits in ASEAN Stock Markets?," Economics Bulletin, AccessEcon, vol. 29(1), pages 392-406.
  32. Fredj Jawadi & Nicolas Million & Mohamed El Hedi Arouri, 2009. "Stock market integration in the Latin American markets: further evidence from nonlinear modeling," Post-Print hal-00387110, HAL.
  33. Ulf Nielsson, 2007. "Interdependence of Nordic and Baltic Stock Markets," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 6(2), pages 9-28, January.
  34. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2008. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working papers 2008-49, University of Connecticut, Department of Economics.
  35. Abdullah, Ahmad Monir & Saiti, Buerhan & Masih, Abul Mansur M., 2014. "Causality between Stock Market Index and Macroeconomic Variables: A Case Study for Malaysia," MPRA Paper 56987, University Library of Munich, Germany.
  36. Huyghebaert, Nancy & Wang, Lihong, 2010. "The co-movement of stock markets in East Asia: Did the 1997-1998 Asian financial crisis really strengthen stock market integration?," China Economic Review, Elsevier, vol. 21(1), pages 98-112, March.
  37. Abdul Karim, Zulkefly & Abdul Karim, Bakri, 2008. "Stock market integration: Malaysia and its major trading partners," MPRA Paper 26976, University Library of Munich, Germany, revised Jun 2009.
  38. Hammoudeh, Shawkat & Yuan, Yuan & Chiang, Thomas & Nandha, Mohan, 2010. "Symmetric and asymmetric US sector return volatilities in presence of oil, financial and economic risks," Energy Policy, Elsevier, vol. 38(8), pages 3922-3932, August.
  39. Diamandis, Panayiotis F., 2009. "International stock market linkages: Evidence from Latin America," Global Finance Journal, Elsevier, vol. 20(1), pages 13-30.
  40. Simpson, J.L. & Evans, J.P., 2005. "Systemic risk in the major Eurobanking markets: Evidence from inter-bank offered rates," Global Finance Journal, Elsevier, vol. 16(2), pages 125-144, December.
  41. Jamal BOUOIYOUR & Refk SELMI, 2016. "China's slowdown and Uncertainty Spillovers within BRICS stock markets: A Signal processing analysis," Working Papers 2015-2016_7, CATT - UPPA - Université de Pau et des Pays de l'Adour, revised Feb 2016.
  42. Z. Wang & J. Yang & D. A. Bessler, 2003. "Financial crisis and African stock market integration," Applied Economics Letters, Taylor & Francis Journals, vol. 10(9), pages 527-533.
  43. Kim, Jeong-Ryeol, 2002. "The stable long-run CAPM and the cross-section of expected returns," Discussion Paper Series 1: Economic Studies 2002,05, Deutsche Bundesbank, Research Centre.
  44. 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.
  45. Jonathan A. Batten & Peter Morgan & Peter G. Szilagyi, 2015. "Time Varying Asian Stock Market Integration," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 60(01), pages 1550006-1-1.
  46. 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.
  47. Mohamed El Hedi Arouri, 2006. "Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with Asymmetric Effects," Frontiers in Finance and Economics, SKEMA Business School, vol. 3(2), pages 70-94, December.
  48. Ibrahim, Boulis Maher & Brzeszczynski, Janusz, 2009. "Inter-regional and region-specific transmission of international stock market returns: The role of foreign information," Journal of International Money and Finance, Elsevier, vol. 28(2), pages 322-343, March.
  49. A. Mansur & M. Masih & Vicky Ryan, 2005. "The term structure of interest rates in Australia: an application of long run structural modelling," Applied Financial Economics, Taylor & Francis Journals, vol. 15(8), pages 557-573.
  50. 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.
  51. Virginie Coudert & Hélène Raymond, 2010. "Gold and Financial Assets: Are There Any Safe Havens in Bear Markets?," Working Papers 2010-13, CEPII research center.
  52. Eduardo Levy Yeyati & Sergio Luis Schmukler & Neeltje Van Horen, 2006. "International Financial Integration through the Law of One Price," Business School Working Papers 2006-01, Universidad Torcuato Di Tella.
  53. Fabio Trojani & Francesco Audrino, 2006. "Estimating and predicting multivariate volatility thresholds in global stock markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 345-369.
  54. Wang, Lihong, 2014. "Who moves East Asian stock markets? The role of the 2007–2009 global financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 182-203.
  55. Jeon, Bang Nam & Jang, Beom-Sik, 2004. "The linkage between the US and Korean stock markets: the case of NASDAQ, KOSDAQ, and the semiconductor stocks," Research in International Business and Finance, Elsevier, vol. 18(3), pages 319-340, September.
  56. Oh, Swee-Ling & Lau, Evan & Puah, Chin-Hong & Abu Mansor, Shazali, 2010. "Volatility Co-movement of ASEAN-5 Equity Markets," MPRA Paper 22244, University Library of Munich, Germany.
  57. Phengpis, Chanwit, 2006. "Market efficiency and cointegration of spot exchange rates during periods of economic turmoil: Another look at European and Asian currency crises," Journal of Economics and Business, Elsevier, vol. 58(4), pages 323-342.
  58. 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.
  59. Saiti, Buerhan & Masih, Mansur, 2014. "The Co-movement of Selective Conventional and Islamic Stock Markets in East Asia: Is there any Impact on Shariah Compliant Equity Investment in China?," MPRA Paper 56992, University Library of Munich, Germany.
  60. Chen, Cathy W. S. & Chiang, Thomas C. & So, Mike K. P., 2003. "Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 487-502.
  61. Sam Agyei-Ampomah, 2011. "Stock market integration in Africa," Managerial Finance, Emerald Group Publishing, vol. 37(3), pages 242-256, March.
  62. Bartosz Gębka, 2012. "The Dynamic Relation Between Returns, Trading Volume, And Volatility: Lessons From Spillovers Between Asia And The United States," Bulletin of Economic Research, Wiley Blackwell, vol. 64(1), pages 65-90, 01.
  63. Siv Heng Taing & Andrew C. Worthington, 2002. "Comovements among European equity sectors: Selected evidence from the consumer discretionary, consumer staples, financial, industrial and materials sectors," School of Economics and Finance Discussion Papers and Working Papers Series 116, School of Economics and Finance, Queensland University of Technology.
  64. Tam, Pui Sun, 2014. "A spatial–temporal analysis of East Asian equity market linkages," Journal of Comparative Economics, Elsevier, vol. 42(2), pages 304-327.
  65. Al Shugaa, Ameen & Masih, Mansur, 2014. "Uncertainty and Volatility in MENA Stock Markets During the Arab Spring," MPRA Paper 58867, University Library of Munich, Germany.
  66. Rumi Masih & A. Mansur & M. Masih, 2004. "Common stochastic trends and the dynamic linkages driving european stock markets: evidence from pre- and post-october 1987 crash eras," The European Journal of Finance, Taylor & Francis Journals, vol. 10(1), pages 81-104.
  67. Iglesias, Emma M., 2015. "Value at Risk of the main stock market indexes in the European Union (2000–2012)," Journal of Policy Modeling, Elsevier, vol. 37(1), pages 1-13.
  68. Asma Sarfraz & Sumbal Shehzadi & Haroon Hussain & Mohsin Altaf, 2012. "Co-integration of Karachi Stock Exchange (KSE) With Major Asian Markets," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 5(5), pages 118-129, October.
  69. Mun, Kyung-Chun, 2005. "Contagion and impulse response of international stock markets around the 9-11 terrorist attacks," Global Finance Journal, Elsevier, vol. 16(1), pages 48-68, August.
  70. Levy Yeyati, Eduardo & Schmukler, Sergio L. & Van Horen, Neeltje, 2009. "International financial integration through the law of one price: The role of liquidity and capital controls," Journal of Financial Intermediation, Elsevier, vol. 18(3), pages 432-463, July.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.