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Citations for "Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility"

by Lin, Wen-Ling & Engle, Robert F & Ito, Takatoshi

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  1. Mahua Barari & Brian Lucey & Svitlana Voronkova, 2005. "CEE Banking Sector Co-Movement: Contagion or Interdependence?," The Institute for International Integration Studies Discussion Paper Series iiisdp078, IIIS.
  2. Hashmi, Aamir R. & Tay, Anthony S., 2007. "Global regional sources of risk in equity markets: Evidence from factor models with time-varying conditional skewness," Journal of International Money and Finance, Elsevier, vol. 26(3), pages 430-453, April.
  3. Dikova, Desislava & Rao Sahib, Padma, 2013. "Is cultural distance a bane or a boon for cross-border acquisition performance?," Journal of World Business, Elsevier, vol. 48(1), pages 77-86.
  4. Zied Ftiti & Aviral Tiwari & Amél Belanès, 2014. "Tests of Financial Market Contagion- Evolutionary Cospectral Analysis V.S. Wavelet Analysis," Working Papers 2014-062, Department of Research, Ipag Business School.
  5. Oxelheim, Lars & Randoy, Trond & Stonehill, Arthur, 2011. "What Can International Finance Add to International Strategy?," Working Paper Series 888, Research Institute of Industrial Economics.
  6. Ahoniemi, Katja & Lanne, Markku, 2013. "Overnight stock returns and realized volatility," International Journal of Forecasting, Elsevier, vol. 29(4), pages 592-604.
  7. Annastiina Silvennoinen & Timo Teräsvirta, 2005. "Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations," Research Paper Series 168, Quantitative Finance Research Centre, University of Technology, Sydney.
  8. Sheedy, Elizabeth, 1998. "Correlation in currency markets a risk-adjusted perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(1), pages 59-82, January.
  9. Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model," SSE/EFI Working Paper Series in Economics and Finance 0652, Stockholm School of Economics.
  10. Ozer-Imer, Itir & Ozkan, Ibrahim, 2014. "An empirical analysis of currency volatilities during the recent global financial crisis," Economic Modelling, Elsevier, vol. 43(C), pages 394-406.
  11. Ewing, Bradley T. & Malik, Farooq & Ozfidan, Ozkan, 2002. "Volatility transmission in the oil and natural gas markets," Energy Economics, Elsevier, vol. 24(6), pages 525-538, November.
  12. Masih, Abul M. M. & Masih, Rumi, 1999. "Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 251-282, August.
  13. Hong, Yongmiao, 2001. "A test for volatility spillover with application to exchange rates," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 183-224, July.
  14. LONGIN, François & SOLNIK, Bruno, 2000. "Extreme correlation of international equity markets," Les Cahiers de Recherche 705, HEC Paris.
  15. S. T. M. Straetmans & W. F. C. Verschoor & C. C. P. Wolff, 2008. "Extreme US stock market fluctuations in the wake of 9|11," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 17-42.
  16. Oxelheim, Lars, 2001. "Routes to equity market integration -- the interplay between politicians, investors and managers," Journal of Multinational Financial Management, Elsevier, vol. 11(2), pages 183-211, April.
  17. Gropp, Reint & Moerman, Gerard, 2004. "Measurement of contagion in banks' equity prices," Journal of International Money and Finance, Elsevier, vol. 23(3), pages 405-459, April.
  18. Steven J. Brown & William N. Goetzmann & Takato Hiraki & Niroyoshi Shiraishi & Masahiro Watanabe, 2002. "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," Yale School of Management Working Papers ysm24, Yale School of Management.
  19. Montes, Gabriel Caldas & Tiberto, Bruno Pires, 2012. "Macroeconomic environment, country risk and stock market performance: Evidence for Brazil," Economic Modelling, Elsevier, vol. 29(5), pages 1666-1678.
  20. Albert S. Kyle, 2001. "Contagion as a Wealth Effect," Journal of Finance, American Finance Association, vol. 56(4), pages 1401-1440, 08.
  21. Sequeira, John M. & Lan, Dong, 2003. "Does world-level volatility matter for the average firm in a global equity market?," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 341-357, December.
  22. Naveen Musunuru, 2014. "Modeling Price Volatility Linkages between Corn and Wheat: A Multivariate GARCH Estimation," International Advances in Economic Research, International Atlantic Economic Society, vol. 20(3), pages 269-280, August.
  23. Michael Ehrmann & Marcel Fratzscher, 2009. "Global Financial Transmission of Monetary Policy Shocks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(6), pages 739-759, December.
  24. Brière, Marie & Chapelle, Ariane & Szafarz, Ariane, 2012. "No contagion, only globalization and flight to quality," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1729-1744.
  25. Wang, Ping & Wang, Peijie, 2010. "Price and volatility spillovers between the Greater China Markets and the developed markets of US and Japan," Global Finance Journal, Elsevier, vol. 21(3), pages 304-317.
  26. 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.
  27. Jeong, Jin-Gil, 1999. "Cross-border transmission of stock price volatility: evidence from the overlapping trading hours," Global Finance Journal, Elsevier, vol. 10(1), pages 53-70.
  28. Yusaku Nishimura & Yoshiro Tsutsui & Kenjiro Hirayama, 2014. "Intraday Return and Volatility Spillover Mechanism from Chinese to Japanese Stock Market," Discussion Papers in Economics and Business 14-01, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
  29. Mulyadi, Martin Surya, 2009. "Volatility spillover in Indonesia, USA, and Japan capital market," MPRA Paper 16914, University Library of Munich, Germany.
  30. John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2009. "Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-Mean Analysis," Discussion Papers of DIW Berlin 942, DIW Berlin, German Institute for Economic Research.
  31. Han, Yufeng, 2012. "State uncertainty in stock markets: How big is the impact on the cost of equity?," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2575-2592.
  32. Ozdemir, Zeynel Abidin & Cakan, Esin, 2007. "Non-linear dynamic linkages in the international stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(1), pages 173-180.
  33. Alotaibi, Abdullah R & Mishra, Anil V, 2015. "Global and Regional Volatility Spillovers to GCC Stock Markets," MPRA Paper 61101, University Library of Munich, Germany.
  34. Caiado, Jorge & Crato, Nuno & Peña, Daniel, 2007. "Is there an identity within international stock market volatilities?," MPRA Paper 2069, University Library of Munich, Germany.
  35. Fung, Hung-Gay & Tse, Yiuman & Zhao, Lin, 2013. "Are stock markets in Asia related to carry trade?," Pacific-Basin Finance Journal, Elsevier, vol. 25(C), pages 200-216.
  36. John Cotter & Simon Stevenson, 2006. "Multivariate Modeling of Daily REIT Volatility," The Journal of Real Estate Finance and Economics, Springer, vol. 32(3), pages 305-325, May.
  37. Hsin, Chin-Wen, 2004. "A multilateral approach to examining the comovements among major world equity markets," International Review of Financial Analysis, Elsevier, vol. 13(4), pages 433-462.
  38. Sinha, Pankaj & Sinha, Gyanesh, 2010. "Volatility Spillover in India, USA and Japan Investigation of Recession Effects," MPRA Paper 47190, University Library of Munich, Germany, revised 17 May 2013.
  39. Aamir R. Hashmi & Anthony S. Tay, 2001. "Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models with Time-Varying Conditional Skewness," Departmental Working Papers wp0116, National University of Singapore, Department of Economics.
  40. Charlotte Christiansen, 2010. "Decomposing European bond and equity volatility," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(2), pages 105-122.
  41. Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2011. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 948-974, 09.
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  43. Flad, Michael & Jung, Robert C., 2008. "A common factor analysis for the US and the German stock markets during overlapping trading hours," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 498-512, December.
  44. Connor, Gregory & Suurlaht, Anita, 2013. "Dynamic stock market covariances in the Eurozone," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 353-370.
  45. Ekaterini Panopoulou & Theologos Pantelidis, 2009. "Integration at a cost: evidence from volatility impulse response functions," Applied Financial Economics, Taylor & Francis Journals, vol. 19(11), pages 917-933.
  46. Benjamin H Cohen & Eli M Remolona, 2001. "Information flows during the Asian crisis: evidence from closed-end funds," BIS Papers chapters, in: Bank for International Settlements (ed.), Market liquidity: proceedings of a workshop held at the BIS, volume 2, pages 30-75 Bank for International Settlements.
  47. Thomas Dimpfl & Robert C. Jung, 2012. "Financial market spillovers around the globe," Applied Financial Economics, Taylor & Francis Journals, vol. 22(1), pages 45-57, January.
  48. Poshakwale, Sunil S. & Aquino, Katty Pérez, 2008. "The dynamics of volatility transmission and information flow between ADRs and their underlying stocks," Global Finance Journal, Elsevier, vol. 19(2), pages 187-201.
  49. Candelon, Bertrand & Piplack, Jan & Straetmans, Stefan, 2008. "On measuring synchronization of bulls and bears: The case of East Asia," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1022-1035, June.
  50. Andrew Swiston & Tamim Bayoumi, 2007. "The Ties That Bind; Measuring International Bond Spillovers Using the Inflation-Indexed Bond Yields," IMF Working Papers 07/128, International Monetary Fund.
  51. Masahiro Watanabe, 2003. "A Model of Stochastic Liquidity," Yale School of Management Working Papers ysm385, Yale School of Management.
  52. Saleem, Kashif, 2008. "International linkage of the Russian market and the Russian financial crisis: A multivariate GARCH analysis," BOFIT Discussion Papers 8/2008, Bank of Finland, Institute for Economies in Transition.
  53. Gregory H. Bauer & Clara Vega, 2004. "The Monetary Origins of Asymmetric Information in International Equity Markets," Working Papers 04-47, Bank of Canada.
  54. Nagayasu, Jun, 2010. "Economic Factors Contributing to Time-Varying Conditional Correlations in Stock Returns," MPRA Paper 28391, University Library of Munich, Germany.
  55. Ding, Liang & Huang, Yirong & Pu, Xiaoling, 2014. "Volatility linkage across global equity markets," Global Finance Journal, Elsevier, vol. 25(2), pages 71-89.
  56. Nilsson, Birger, 2002. "International Asset Pricing and the Benefits from World Market Diversification," Working Papers 2002:1, Lund University, Department of Economics.
  57. John Cotter & Fran\c{c}ois Longin, 2011. "Implied correlation from VaR," Papers 1103.5655, arXiv.org.
  58. J. Piplack & M. Beine & B. Candelon, 2009. "Comovements of Returns and Volatility in International Stock Markets: A High-Frequency Approach," Working Papers 09-10, Utrecht School of Economics.
  59. Ito, Akitoshi, 1999. "Profits on technical trading rules and time-varying expected returns: evidence from Pacific-Basin equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 283-330, August.
  60. Mun, Kyung-Chun, 2012. "The joint response of stock and foreign exchange markets to macroeconomic surprises: Using US and Japanese data," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 383-394.
  61. Le Pen, Yannick & Sévi, Benoît, 2010. "Volatility transmission and volatility impulse response functions in European electricity forward markets," Energy Economics, Elsevier, vol. 32(4), pages 758-770, July.
  62. Caiado, Jorge & Crato, Nuno, 2008. "Identifying the evolution of stock markets stochastic structure after the euro," MPRA Paper 6609, University Library of Munich, Germany.
  63. de Bandt, Olivier & Hartmann, Philipp, 2000. "Systemic Risk: A Survey," CEPR Discussion Papers 2634, C.E.P.R. Discussion Papers.
  64. Cifarelli, Giulio & Paladino, Giovanna, 2006. "Volatility co-movements between emerging sovereign bonds: Is there segmentation between geographical areas?," Global Finance Journal, Elsevier, vol. 16(3), pages 245-263, March.
  65. Massimo Guidolin, 2005. "Home Bias and High Turnover in an Overlapping-generations Model with Learning," Review of International Economics, Wiley Blackwell, vol. 13(4), pages 725-756, 09.
  66. Antonakakis, Nikolaos & Kizys, Renatas & Floros, Christos, 2014. "Dynamic Spillover Effects in Futures Markets," MPRA Paper 53876, University Library of Munich, Germany.
  67. van Dijk, D.J.C. & Osborn, D.R. & Sensier, M., 2004. "Testing for causality in variance in the presence of breaks," Econometric Institute Research Papers EI 2004-48, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  68. Takatoshi Ito & Wen-Ling Lin, 1993. "Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets," NBER Working Papers 4592, National Bureau of Economic Research, Inc.
  69. de Vries, Casper G & Hartmann, Philipp & Straetmans, Stefan, 2001. "Asset Market Linkages in Crisis Periods," CEPR Discussion Papers 2916, C.E.P.R. Discussion Papers.
  70. Luis Catão & Allan Timmermann, 2003. "Country and Industry Dynamics in Stock Returns," IMF Working Papers 03/52, International Monetary Fund.
  71. Bonfiglioli, Alessandra & Favero, Carlo A., 2005. "Explaining co-movements between stock markets: The case of US and Germany," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1299-1316, December.
  72. Olan T. Henry & Nilss Olekalns & Kalvinder Shields, 2004. "Time Variation And Asymmetry In The World Price Of Covariance Risk: The Implications For International Diversification," Department of Economics - Working Papers Series 907, The University of Melbourne.
  73. Arago-Manzana, Vicent & Fernandez-Izquierdo, Maria Angeles, 2007. "Influence of structural changes in transmission of information between stock markets: A European empirical study," Journal of Multinational Financial Management, Elsevier, vol. 17(2), pages 112-124, April.
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  75. Malik, Farooq & Hammoudeh, Shawkat, 2007. "Shock and volatility transmission in the oil, US and Gulf equity markets," International Review of Economics & Finance, Elsevier, vol. 16(3), pages 357-368.
  76. Aboura, Sofiane & Chevallier, Julien, 2014. "Cross-Market Spillovers with 'Volatility Surprise'," Economics Papers from University Paris Dauphine 123456789/13806, Paris Dauphine University.
  77. Milunovich, George & Thorp, Susan, 2006. "Valuing volatility spillovers," Global Finance Journal, Elsevier, vol. 17(1), pages 1-22, September.
  78. Mehl, Arnaud, 2006. "The yield curve as a predictor and emerging economies," BOFIT Discussion Papers 18/2006, Bank of Finland, Institute for Economies in Transition.
  79. Karmakar, Madhusudan, 2010. "Information transmission between small and large stocks in the National Stock Exchange in India: An empirical study," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(1), pages 110-120, February.
  80. 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.
  81. Lucía Cuadro Sáez & Marcel Fratzscher & Christian Thimann, 2007. "The transmission of emerging market shocks to global equity markets," Banco de Espa�a Working Papers 0727, Banco de Espa�a.
  82. So, Raymond W., 2001. "Price and volatility spillovers between interest rate and exchange value of the US dollar," Global Finance Journal, Elsevier, vol. 12(1), pages 95-107.
  83. Lakshmi Balasubramanyan, 2005. "Do Time-Varying Covariances, Volatility Comovement and Spillover Matter?," Finance 0509002, EconWPA.
  84. Le Pen, Yannick & Sévi, Benoît, 2009. "News and correlations: an impulse response analysis," Economics Papers from University Paris Dauphine 123456789/6804, Paris Dauphine University.
  85. Marie Briere & Ariane Szafarz, 2008. "Crisis-Robust Bond Portfolios," ULB Institutional Repository 2013/14150, ULB -- Universite Libre de Bruxelles.
  86. Heung-Joo Cha & Thadavillil Jithendranathan, 2009. "Time-varying correlations and optimal allocation in emerging market equities for the US investors," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(2), pages 172-187.
  87. Peresetsky, Anatoly & Yakubov, Ruslan, 2015. "Autocorrelation in an unobservable global trend: Does it help to forecast market returns?," MPRA Paper 64579, University Library of Munich, Germany.
  88. Hatice Ozer Balli & Faruk Balli & Rosmy Jean Louis, 2013. "Time-Varying Spillover Effects on Sectoral Equity Returns," International Review of Finance, International Review of Finance Ltd., vol. 13(1), pages 67-91, 03.
  89. Stelios D. Bekiros, 2013. "Decoupling and the Spillover Effects of the US Financial Crisis: Evidence from the BRIC Markets," Working Paper Series 21_13, The Rimini Centre for Economic Analysis.
  90. Joëts, Marc, 2014. "Energy price transmissions during extreme movements," Economic Modelling, Elsevier, vol. 40(C), pages 392-399.
  91. Kee-Hong Bae & G. Andrew Karolyi & René M. Stulz, 2003. "A New Approach to Measuring Financial Contagion," Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 717-763, July.
  92. Bill B. Francis & Iftekhar Hasan & Delroy M. Hunter, 2004. "Return-volatility linkages in the international equity and currency markets," Finance 0405022, EconWPA.
  93. G. Andrew Karolyi & Rene Stulz, . "Why do Markets Move Together? An Investigation of U.S.-Japan Stock Return Comovements using ADRS," Research in Financial Economics 9501, Ohio State University.
  94. Bhattacharjee, Kaushik & Bang, Nupur Pavan & Mamidanna, Sravya, 2014. "Transmission of pricing information between level III ADRs and their underlying domestic stocks: Empirical evidence from India," Journal of Multinational Financial Management, Elsevier, vol. 24(C), pages 43-59.
  95. Aityan, Sergey K. & Ivanov-Schitz, Alexey K. & Izotov, Sergey S., 2010. "Time-shift asymmetric correlation analysis of global stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(5), pages 590-605, December.
  96. Claudio Loderer & Marc-André Mittermayer, 2006. "America and the Swiss Stock Exchange: An Intraday Analysis," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 142(I), pages 79-114, March.
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  99. Hong, Yongmiao & Liu, Yanhui & Wang, Shouyang, 2009. "Granger causality in risk and detection of extreme risk spillover between financial markets," Journal of Econometrics, Elsevier, vol. 150(2), pages 271-287, June.
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  122. Wang, Steven Shuye & Meng Rui, Oliver & Firth, Michael, 2002. "Return and volatility behavior of dually-traded stocks: the case of Hong Kong," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 265-293, April.
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  124. Sandoval, Leonidas, 2014. "To lag or not to lag? How to compare indices of stock markets that operate on different times," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 403(C), pages 227-243.
  125. Billio, Monica & Pelizzon, Loriana, 2003. "Volatility and shocks spillover before and after EMU in European stock markets," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 323-340, December.
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  131. Wang, Steven Shuye & Firth, Michael, 2004. "Do bears and bulls swim across oceans? Market information transmission between greater China and the rest of the world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(3), pages 235-254, July.
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  138. Lee, Bong-Soo & Rui, Oliver Meng & Wang, Steven Shuye, 2004. "Information transmission between the NASDAQ and Asian second board markets," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1637-1670, July.
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  171. repec:wyi:journl:002141 is not listed on IDEAS
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