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The contemporaneous interactions between the U.S., Japan, and Hong Kong stock markets

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  • Lee, Keun Yeong

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  • Lee, Keun Yeong, 2006. "The contemporaneous interactions between the U.S., Japan, and Hong Kong stock markets," Economics Letters, Elsevier, vol. 90(1), pages 21-27, January.
    • Handle: RePEc:eee:ecolet:v:90:y:2006:i:1:p:21-27
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    References listed on IDEAS

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    1. Bekaert, Geert & Harvey, Campbell R. & Lumsdaine, Robin L., 2002. "Dating the integration of world equity markets," Journal of Financial Economics, Elsevier, vol. 65(2), pages 203-247, August.
    2. Roberto Rigobon & Brian Sack, 2003. "Measuring The Reaction of Monetary Policy to the Stock Market," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 118(2), pages 639-669.
    3. Jushan Bai & Robin L. Lumsdaine & James H. Stock, 1998. "Testing For and Dating Common Breaks in Multivariate Time Series," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 395-432.
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    Cited by:

    1. Qingfeng Liu & Qingsong Yao & Guoqing Zhao, 2020. "Model averaging estimation for conditional volatility models with an application to stock market volatility forecast," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 841-863, August.
    2. repec:hum:wpaper:sfb649dp2007-004 is not listed on IDEAS
    3. Muhammad Zia Ur Rehman & Zain ul Abidin & Faisal Rizwan & Zaheer Abbas & Sajjad Ahmad Baig, 2017. "How investor sentiments spillover from developed countries to developing countries?," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1309096-130, January.
    4. Abu Bakar, Norhidayah & Masih, Abul Mansur M., 2014. "The Dynamic Linkages between Islamic Index and the Major Stock Markets: New Evidence from Wavelet time-scale decomposition Analysis," MPRA Paper 56977, University Library of Munich, Germany.
    5. Terence Tai-Leung Chong, Bingqing Cao, Wing Keung Wong, 2017. "A Principal Component Approach to Measuring Investor Sentiment in Hong Kong," Journal of Management Sciences, Geist Science, Iqra University, Faculty of Business Administration, vol. 4(2), pages 237-247, October.
    6. Enzo Weber, 2010. "Volatility and causality in Asia Pacific financial markets," Applied Financial Economics, Taylor & Francis Journals, vol. 20(16), pages 1269-1292.
    7. Weber, Enzo, 2007. "Who Leads Financial Markets?," MPRA Paper 5099, University Library of Munich, Germany, revised Oct 2007.
    8. Brännäs Kurt & De Gooijer Jan G. & Lönnbark Carl & Soultanaeva Albina, 2012. "Simultaneity and Asymmetry of Returns and Volatilities: The Emerging Baltic States' Stock Exchanges," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(1), pages 1-24, January.
    9. Dao, Chi-Mai & Wolters, Jürgen, 2008. "Common stochastic volatility trends in international stock returns," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 431-445, June.
    10. repec:hum:wpaper:sfb649dp2007-015 is not listed on IDEAS
    11. Weber, Enzo, 2007. "Volatility and causality in Asia Pacific financial markets," SFB 649 Discussion Papers 2007-004, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    12. Lewis, Yimai & Bozos, Konstantinos, 2019. "Mitigating post-acquisition risk: the interplay of cross-border uncertainties," Journal of World Business, Elsevier, vol. 54(5), pages 1-1.

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