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Financial interdependence between Hong Kong and the US: A band spectrum approach

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  • Chan, Leo
  • Lien, Donald
  • Weng, Wenlong

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  • Chan, Leo & Lien, Donald & Weng, Wenlong, 2008. "Financial interdependence between Hong Kong and the US: A band spectrum approach," International Review of Economics & Finance, Elsevier, vol. 17(4), pages 507-516, October.
    • Handle: RePEc:eee:reveco:v:17:y:2008:i:4:p:507-516
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    2. Chowdhury, Abdur R., 1994. "Stock market interdependencies: Evidence from the asian NIEs," Journal of Macroeconomics, Elsevier, vol. 16(4), pages 629-651.
    3. Milunovich, George & Thorp, Susan, 2006. "Valuing volatility spillovers," Global Finance Journal, Elsevier, vol. 17(1), pages 1-22, September.
    4. Thoma, Mark A, 1992. "The Effects of Inside and Outside Money on Industrial Production across Spectral Frequency Bands," The Review of Economics and Statistics, MIT Press, vol. 74(4), pages 737-741, November.
    5. Thoma, Mark A, 1994. "The Effects of Money Growth on Inflation and Interest Rates across Spectral Frequency Bands," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 26(2), pages 218-231, May.
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    7. Engle, Robert F, 1974. "Band Spectrum Regression," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 1-11, February.
    8. Cheung, Yin-Wong & Yuen, Jude, 2002. "Effects of U.S. Inflation on Hong Kong and Singapore," Journal of Comparative Economics, Elsevier, vol. 30(3), pages 603-619, September.
    9. Lin, Wen-Ling & Engle, Robert F & Ito, Takatoshi, 1994. "Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility," The Review of Financial Studies, Society for Financial Studies, vol. 7(3), pages 507-538.
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    17. Brooks, Chris & Henry, Olan T., 2000. "Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia," Economic Modelling, Elsevier, vol. 17(4), pages 497-513, December.
    18. Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 21(1), pages 243-247, December.
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    20. Jen-Chi Cheng & Larry Taylor & Wenlong Weng, 2006. "Exchange rates and prices: revisiting Granger causality tests," Journal of Post Keynesian Economics, Taylor & Francis Journals, vol. 29(2), pages 259-283.
    21. Karolyi, G Andrew, 1995. "A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 11-25, January.
    22. Granger, Clive W. J. & Huangb, Bwo-Nung & Yang, Chin-Wei, 2000. "A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(3), pages 337-354.
    23. Gagnon, Louis & Karolyi, G. Andrew, 2006. "Price and Volatility Transmission across Borders," Working Paper Series 2006-5, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
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    2. Zhang, Dingxuan & Sun, Yuying & Duan, Hongbo & Hong, Yongmiao & Wang, Shouyang, 2023. "Speculation or currency? Multi-scale analysis of cryptocurrencies—The case of Bitcoin," International Review of Financial Analysis, Elsevier, vol. 88(C).
    3. Apergis, Nicholas & Gupta, Rangan, 2017. "Can (unusual) weather conditions in New York predict South African stock returns?," Research in International Business and Finance, Elsevier, vol. 41(C), pages 377-386.
    4. Yushi Yoshida, 2010. "Is this time different for Asia?: Evidence from stock Markets," Discussion Papers 40, Kyushu Sangyo University, Faculty of Economics.
    5. Hou, Yang & Li, Steven, 2016. "Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach," Economic Modelling, Elsevier, vol. 52(PB), pages 884-897.
    6. Corbet, Shaen & Hou, Yang & Hu, Yang & Oxley, Les, 2020. "The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry," International Review of Financial Analysis, Elsevier, vol. 72(C).
    7. Zhang, Bing & Li, Xiao-Ming, 2014. "Has there been any change in the comovement between the Chinese and US stock markets?," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 525-536.
    8. Kim Hiang Liow & Shao Yue Angela, 2017. "Return and co-movement of major public real estate markets during global financial crisis," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 35(5), pages 489-508, August.
    9. Nicholas Apergis & Rangan Gupta, 2016. "Can Weather Conditions in New York Predict South African Stock Returns?," Working Papers 201634, University of Pretoria, Department of Economics.
    10. Wang, Kehluh & Chen, Yi-Hsuan & Huang, Szu-Wei, 2011. "The dynamic dependence between the Chinese market and other international stock markets: A time-varying copula approach," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 654-664, October.

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