IDEAS home Printed from https://ideas.repec.org/r/eee/pacfin/v20y2012i2p247-270.html
   My bibliography  Save this item

Volatility spillovers between the Chinese and world equity markets

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Naeem, Muhammad Abubakr & Yousaf, Imran & Karim, Sitara & Yarovaya, Larisa & Ali, Shoaib, 2023. "Tail-event driven NETwork dependence in emerging markets," Emerging Markets Review, Elsevier, vol. 55(C).
  2. Yen-Hsien Lee & Ting-Huei Liao & Ya-Ling Huang & Tzu-Ling Huang, 2015. "Dynamic Spillovers between Oil and Stock Markets: New Approaches at Spillover Index," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 6(2), pages 178-189, April.
  3. Fernando Fernández-Rodríguez & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2015. "Financial stress transmission in EMU sovereign bond market volatility: A connectedness analysis," Working Papers del Instituto Complutense de Estudios Internacionales 1501, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales.
  4. Lee, Geesun, 2024. "The impact of North Korean nuclear threat on stock market linkages in Northeast Asia: The case of South Korea, China, and Japan," Finance Research Letters, Elsevier, vol. 66(C).
  5. Kang, Sanghoon & Hernandez, Jose Arreola & Sadorsky, Perry & McIver, Ronald, 2021. "Frequency spillovers, connectedness, and the hedging effectiveness of oil and gold for US sector ETFs," Energy Economics, Elsevier, vol. 99(C).
  6. Huo, Rui & Ahmed, Abdullahi D., 2017. "Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect," Economic Modelling, Elsevier, vol. 61(C), pages 260-272.
  7. Sowmya, Subramaniam & Prasanna, Krishna & Bhaduri, Saumitra, 2016. "Linkages in the term structure of interest rates across sovereign bond markets," Emerging Markets Review, Elsevier, vol. 27(C), pages 118-139.
  8. Antonakakis, Nikolaos & Breitenlechner, Max & Scharler, Johann, 2015. "Business cycle and financial cycle spillovers in the G7 countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 154-162.
  9. Tumala, Mohammed M. & Atoi, Ngozi V. & Karimo, Tari M., 2023. "Returns and Volatility Spillover between Nigeria and Selected Global Stock Markets: A Diebold-Yilmaz Approach," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 76(2), pages 173-208.
  10. repec:wyi:journl:002202 is not listed on IDEAS
  11. Jianhui Li & Sebastian A. Gehricke & Jin E. Zhang, 2019. "How do US options traders “smirk” on China? Evidence from FXI options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(11), pages 1450-1470, November.
  12. Chevallier, Julien & Nguyen, Duc Khuong & Siverskog, Jonathan & Uddin, Gazi Salah, 2018. "Market integration and financial linkages among stock markets in Pacific Basin countries," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 77-92.
  13. Liu, De-Chih & Liu, Chih-Yun, 2016. "The source of stock return fluctuation in Taiwan," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 77-88.
  14. Yin, Kedong & Liu, Zhe & Jin, Xue, 2020. "Interindustry volatility spillover effects in China’s stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
  15. Jianlei Han & Jing He & Zheyao Pan & Jing Shi, 2018. "Twenty Years of Accounting and Finance Research on the Chinese Capital Market," Abacus, Accounting Foundation, University of Sydney, vol. 54(4), pages 576-599, December.
  16. Awartani, Basel & Maghyereh, Aktham Issa, 2013. "Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries," Energy Economics, Elsevier, vol. 36(C), pages 28-42.
  17. He, Hongbo & Chen, Shou & Yao, Shujie & Ou, Jinghua, 2014. "Financial liberalisation and international market interdependence: Evidence from China’s stock market in the post-WTO accession period," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 434-444.
  18. Ahmed, Abdullahi D. & Huo, Rui, 2019. "Impacts of China's crash on Asia-Pacific financial integration: Volatility interdependence, information transmission and market co-movement," Economic Modelling, Elsevier, vol. 79(C), pages 28-46.
  19. Md Akhtaruzzaman & Ramzi Benkraiem & Sabri Boubaker & Constantin Zopounidis, 2022. "COVID‐19 crisis and risk spillovers to developing economies: Evidence from Africa," Journal of International Development, John Wiley & Sons, Ltd., vol. 34(4), pages 898-918, May.
  20. Raisul Islam & Vladimir Volkov, 2022. "Contagion or interdependence? Comparing spillover indices," Empirical Economics, Springer, vol. 63(3), pages 1403-1455, September.
  21. Santiago Gamba-Santamaria & Jose Eduardo Gomez-Gonzalez & Jorge Luis Hurtado-Guarin & Luis Fernando Melo-Velandia, 2019. "Volatility spillovers among global stock markets: measuring total and directional effects," Empirical Economics, Springer, vol. 56(5), pages 1581-1599, May.
  22. Mehmet Balcilar & Rangan Gupta & Duc Khuong Nguyen & Mark E. Wohar, 2018. "Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach," Applied Economics, Taylor & Francis Journals, vol. 50(53), pages 5712-5727, November.
  23. Amine Ben Amar & Amir Hasnaoui & Nabil Boubrahimi & Ilham Dkhissi & Makram Bellalah, 2024. "Deciphering volatility spillovers amidst crises: analyzing the interplay among commodities, equities and socially responsible investments during the COVID-19 shock and financial turbulence," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 25(4), pages 629-645, May.
  24. Fernández-Rodríguez, Fernando & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2015. "Volatility spillovers in EMU sovereign bond markets," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 337-352.
  25. Křehlík, Tomáš & Baruník, Jozef, 2017. "Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets," Energy Economics, Elsevier, vol. 65(C), pages 208-218.
  26. Noureddine Benlagha & Slim Mseddi, 2019. "Return and volatility spillovers in the presence of structural breaks: evidence from GCC Islamic and conventional banks," Journal of Asset Management, Palgrave Macmillan, vol. 20(1), pages 72-90, February.
  27. José Da Fonseca & Katrin Gottschalk, 2020. "The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets," International Review of Finance, International Review of Finance Ltd., vol. 20(3), pages 551-579, September.
  28. Kai Shi, 2021. "Spillovers of Stock Markets among the BRICS: New Evidence in Time and Frequency Domains before the Outbreak of COVID-19 Pandemic," JRFM, MDPI, vol. 14(3), pages 1-37, March.
  29. Domingo Rodríguez Benavides & Nancy Muller Durán & José Antonio Climent Hernández, 2021. "Spillovers entre los principales Mercados Accionarios de Latinoamérica, Estados Unidos y el Mercado Petrolero," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-18, Enero - M.
  30. Nishimura, Yusaku & Sun, Bianxia, 2018. "The intraday volatility spillover index approach and an application in the Brexit vote," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 241-253.
  31. Liow, Kim Hiang & Huang, Yuting, 2018. "The dynamics of volatility connectedness in international real estate investment trusts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 195-210.
  32. Zheng, Tingguo & Zuo, Haomiao, 2013. "Reexamining the time-varying volatility spillover effects: A Markov switching causality approach," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 643-662.
  33. Dimitrios Louzis, 2015. "Measuring spillover effects in Euro area financial markets: a disaggregate approach," Empirical Economics, Springer, vol. 49(4), pages 1367-1400, December.
  34. Balash, Vladimir & Faizliev, Alexey, 2024. "Volatility spillovers across Russian oil and gas sector. Evidence of the impact of global markets and extraordinary events," Energy Economics, Elsevier, vol. 129(C).
  35. Xu, Weiju & Ma, Feng & Chen, Wang & Zhang, Bing, 2019. "Asymmetric volatility spillovers between oil and stock markets: Evidence from China and the United States," Energy Economics, Elsevier, vol. 80(C), pages 310-320.
  36. Antonakakis, Nikolaos & Gabauer, David, 2017. "Refined Measures of Dynamic Connectedness based on TVP-VAR," MPRA Paper 78282, University Library of Munich, Germany.
  37. Liu, Jing & Ma, Feng & Zhang, Yaojie, 2019. "Forecasting the Chinese stock volatility across global stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 466-477.
  38. Narayan, Paresh Kumar & Narayan, Seema & K.P, Prabheesh, 2014. "Stock returns, mutual fund flows and spillover shocks," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 146-162.
  39. Zaghum Umar & Oluwasegun Babatunde Adekoya & Mariya Gubareva & Sabri Boubaker, 2024. "Returns and volatility connectedness among the Eurozone equity markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 3103-3122, July.
  40. Hongyi Chen & Michael Funke & Andrew Tsang, 2016. "The Diffusion and Dynamics of Producer Prices, Deflationary Pressure across Asian Countries, and the Role of China," Working Papers 152016, Hong Kong Institute for Monetary Research.
  41. Carlos Casanova & Alvaro Ortiz & Tomasa Rodrigo & Le Xia & Joaquín Iglesias, 2017. "Tracking chinese vulnerability in real time using Big Data," Working Papers 17/13, BBVA Bank, Economic Research Department.
  42. Zhang, Weiping & Zhuang, Xintian & Lu, Yang, 2020. "Spatial spillover effects and risk contagion around G20 stock markets based on volatility network," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  43. Wei, Yu & Zhang, Yaojie & Wang, Yudong, 2022. "Information connectedness of international crude oil futures: Evidence from SC, WTI, and Brent," International Review of Financial Analysis, Elsevier, vol. 81(C).
  44. Györfy Lehel & Madaras Szilárd, 2019. "The Influence of Self-Employment on Early-Stage Entrepreneurship in Romania. A Global Entrepreneurship Monitor-Based Analysis," Acta Universitatis Sapientiae, Economics and Business, Sciendo, vol. 7(1), pages 23-35, December.
  45. Yoon, Seong-Min & Al Mamun, Md & Uddin, Gazi Salah & Kang, Sang Hoon, 2019. "Network connectedness and net spillover between financial and commodity markets," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 801-818.
  46. Peter B. Lerner, 2022. "Fourier Integral Operator Model of Market Liquidity: The Chinese Experience 2009–2010," Mathematics, MDPI, vol. 10(14), pages 1-25, July.
  47. Kim, Bo Gyeong & Shin, Dong Wan, 2020. "A mean-difference test based on self-normalization for alternating regime index data sets," Economics Letters, Elsevier, vol. 193(C).
  48. Imran Yousaf & Shoaib Ali & Wing-Keung Wong, 2020. "An Empirical Analysis of the Volatility Spillover Effect between World-Leading and the Asian Stock Markets: Implications for Portfolio Management," JRFM, MDPI, vol. 13(10), pages 1-28, September.
  49. Zhang, Dayong & Ji, Qiang & Kutan, Ali M., 2019. "Dynamic transmission mechanisms in global crude oil prices: Estimation and implications," Energy, Elsevier, vol. 175(C), pages 1181-1193.
  50. Yi, Shuyue & Xu, Zishuang & Wang, Gang-Jin, 2018. "Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 98-114.
  51. Vuong, Giang Thi Huong & Nguyen, Manh Huu & Huynh, Anh Ngoc Quang, 2022. "Volatility spillovers from the Chinese stock market to the U.S. stock market: The role of the COVID-19 pandemic," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
  52. Nikolaos Antonakakis & Ioannis Chatziantoniou & George Filis, 2016. "Business Cycle Spillovers in the European Union: What is the Message Transmitted to the Core?," Manchester School, University of Manchester, vol. 84(4), pages 437-481, July.
  53. Vladimir Balash & Alexey Faizliev & Sergei Sidorov & Elena Chistopolskaya, 2021. "Conditional Time-Varying General Dynamic Factor Models and Its Application to the Measurement of Volatility Spillovers across Russian Assets," Mathematics, MDPI, vol. 9(19), pages 1-31, October.
  54. Katharina Diekmann, 2011. "Are there Spillover Effects from Hong Kong and the United States to Chinese Stock Markets?," IEER Working Papers 89, Institute of Empirical Economic Research, Osnabrueck University.
  55. Fang, Yi & Jing, Zhongbo & Shi, Yukun & Zhao, Yang, 2021. "Financial spillovers and spillbacks: New evidence from China and G7 countries," Economic Modelling, Elsevier, vol. 94(C), pages 184-200.
  56. Tsai, I-Chun & Chiang, Shu-Hen, 2019. "Exuberance and spillovers in housing markets: Evidence from first- and second-tier cities in China," Regional Science and Urban Economics, Elsevier, vol. 77(C), pages 75-86.
  57. Xiaomeng Ma & Dong Zou & Chuanchao Huang & Shuliang Lv, 2020. "China’s growing influence and risk in Asia–Pacific stock markets: evidence from spillover effects and market integration," Risk Management, Palgrave Macmillan, vol. 22(4), pages 338-361, December.
  58. Kolte, Ashutosh & Roy, Jewel Kumar & Vasa, László, 2023. "The impact of unpredictable resource prices and equity volatility in advanced and emerging economies: An econometric and machine learning approach," Resources Policy, Elsevier, vol. 80(C).
  59. Andy Wui Wing Cheng & Iris Wing Han Yip, 2017. "China’s Macroeconomic Fundamentals on Stock Market Volatility: Evidence from Shanghai and Hong Kong," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-57, June.
  60. Hkiri, Besma & Hammoudeh, Shawkat & Aloui, Chaker & Yarovaya, Larisa, 2017. "Are Islamic indexes a safe haven for investors? An analysis of total, directional and net volatility spillovers between conventional and Islamic indexes and importance of crisis periods," Pacific-Basin Finance Journal, Elsevier, vol. 43(C), pages 124-150.
  61. Serda Selin Öztürk & Engin Volkan, 2015. "Intraindustry Volatility Spillovers in the MENA Region," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 51(6), pages 1163-1174, November.
  62. Jung-Bin Su, 2022. "The Research on the Interactions between the Emerging and Developed Markets: From Region and Structural Break Perspectives," Mathematics, MDPI, vol. 10(8), pages 1-38, April.
  63. Sanjay Sehgal & Payal Jain, 2017. "Information linkages among emerging equity markets—an empirical study," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 44(1), pages 15-38, March.
  64. Kausik Chaudhuri & Saumitra N. Bhaduri, 2019. "Inflation Forecast: Just use the Disaggregate or Combine it with the Aggregate," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(2), pages 331-343, June.
  65. Majdoub, Jihed & Ben Sassi, Salim, 2017. "Volatility spillover and hedging effectiveness among China and emerging Asian Islamic equity indexes," Emerging Markets Review, Elsevier, vol. 31(C), pages 16-31.
  66. Giannellis, Nikolaos & Papadopoulos, Athanasios P., 2016. "Intra-national and international spillovers between the real economy and the stock market: The case of China," The Journal of Economic Asymmetries, Elsevier, vol. 14(PA), pages 78-92.
  67. Antonakakis, N. & Badinger, H., 2016. "Economic growth, volatility, and cross-country spillovers: New evidence for the G7 countries," Economic Modelling, Elsevier, vol. 52(PB), pages 352-365.
  68. Kang, Sang Hoon & Maitra, Debasish & Dash, Saumya Ranjan & Brooks, Robert, 2019. "Dynamic spillovers and connectedness between stock, commodities, bonds, and VIX markets," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).
  69. Yu, Bo & Ouyang, Haiqin & Guan, Chao & Lin, Binzhao, 2024. "Network measurement and influence mechanism of dynamic risk contagion among global stock markets: Based on time-varying spillover index and complex network method," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
  70. Bouri, Elie & Harb, Etienne, 2022. "The size of good and bad volatility shocks does matter for spillovers," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
  71. Liu, Tangyong & Gong, Xu, 2020. "Analyzing time-varying volatility spillovers between the crude oil markets using a new method," Energy Economics, Elsevier, vol. 87(C).
  72. Wang, Gang-Jin & Xie, Chi & Zhao, Longfeng & Jiang, Zhi-Qiang, 2018. "Volatility connectedness in the Chinese banking system: Do state-owned commercial banks contribute more?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 57(C), pages 205-230.
  73. Maruska Vizek, 2019. "The Sovereign Bond Markets Return And Volatility Spillovers," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, vol. 28(2), pages 597-610, december.
  74. Nikolaos Antonakakis & Max Breitenlechner & Johann Scharler, 2014. "How Strongly are Business Cycles and Financial Cycles Linked in the G7 Countries?," Working Papers 2014-07, Faculty of Economics and Statistics, Universität Innsbruck.
  75. Sarwar, Suleman & Khalfaoui, Rabeh & Waheed, Rida & Dastgerdi, Hamidreza Ghorbani, 2019. "Volatility spillovers and hedging: Evidence from Asian oil-importing countries," Resources Policy, Elsevier, vol. 61(C), pages 479-488.
  76. 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.
  77. repec:zbw:bofitp:2016_011 is not listed on IDEAS
  78. Ahmed, Abdullahi D. & Huo, Rui, 2018. "China–Africa financial markets linkages: Volatility and interdependence," Journal of Policy Modeling, Elsevier, vol. 40(6), pages 1140-1164.
  79. Liow, Kim Hiang & Newell, Graeme, 2016. "Real estate global beta and spillovers: An international study," Economic Modelling, Elsevier, vol. 59(C), pages 297-313.
  80. Prasad, Nalin & Grant, Andrew & Kim, Suk-Joong, 2018. "Time varying volatility indices and their determinants: Evidence from developed and emerging stock markets," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 115-126.
  81. Khurram Shehzad & Xiaoxing Liu & Aviral Tiwari & Muhammad Arif & Abdul Rauf, 2021. "Analysing time difference and volatility linkages between China and the United States during financial crises and stable period using VARX‐DCC‐MEGARCH model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 814-833, January.
  82. Chung, Chien-Ping & Liao, Tzu-Hsiang & Lee, Hsiu-Chuan, 2021. "Volatility spillovers of A- and B-shares for the Chinese stock market and its impact on the Chinese index returns," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
  83. Mauck, Nathan & Pruitt, Stephen & Zhang, Wenjia, 2022. "Words matter: Market responses to changes in U.S. and Chinese trade-related internet search frequency under different U.S. administrations," Global Finance Journal, Elsevier, vol. 53(C).
  84. Awartani, Basel & Maghyereh, Aktham I. & Shiab, Mohammad Al, 2013. "Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 224-242.
  85. 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.
  86. Fernández-Rodríguez, Fernando & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2016. "Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 126-145.
  87. Antonakakis, Nikolaos & Dragouni, Mina & Filis, George, 2015. "How strong is the linkage between tourism and economic growth in Europe?," Economic Modelling, Elsevier, vol. 44(C), pages 142-155.
  88. Mpoha, Salifya & Bonga-Bonga, Lumengo, 2020. "Assessing the extent of exchange rate risk pricing in equity markets: emerging versus developed economies," MPRA Paper 99597, University Library of Munich, Germany.
  89. Vo, Xuan Vinh & Ellis, Craig, 2018. "International financial integration: Stock return linkages and volatility transmission between Vietnam and advanced countries," Emerging Markets Review, Elsevier, vol. 36(C), pages 19-27.
  90. Abosedra, Salah & Arayssi, Mahmoud & Ben Sita, Bernard & Mutshinda, Crispin, 2020. "Exploring GDP growth volatility spillovers across countries," Economic Modelling, Elsevier, vol. 89(C), pages 577-589.
  91. Muhammad Ali Nasir & Muhammad Shahbaz & Trinh Thi Mai & Moade Shubita, 2021. "Development of Vietnamese stock market: Influence of domestic macroeconomic environment and regional markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1435-1458, January.
  92. Tung-Yueh Pai & Yen-Hsien Lee, 2018. "Industry Herding, Spillover Index and Investment Strategy," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 8(6), pages 1-6.
  93. Slim Mseddi & Noureddine Benlagha, 2017. "An Analysis of Spillovers Between Islamic and Conventional Stock Bank Returns: Evidence from the GCC Countries," Multinational Finance Journal, Multinational Finance Journal, vol. 21(2), pages 91-132, June.
  94. Sun Meng & Yan Chen, 2023. "Market Volatility Spillover, Network Diffusion, and Financial Systemic Risk Management: Financial Modeling and Empirical Study," Mathematics, MDPI, vol. 11(6), pages 1-16, March.
  95. Zhang, Hua & Chen, Jinyu & Shao, Liuguo, 2021. "Dynamic spillovers between energy and stock markets and their implications in the context of COVID-19," International Review of Financial Analysis, Elsevier, vol. 77(C).
  96. Sugimoto, Kimiko & Matsuki, Takashi & Yoshida, Yushi, 2014. "The global financial crisis: An analysis of the spillover effects on African stock markets," Emerging Markets Review, Elsevier, vol. 21(C), pages 201-233.
  97. Balcilar, Mehmet & Usman, Ojonugwa, 2021. "Exchange rate and oil price pass-through in the BRICS countries: Evidence from the spillover index and rolling-sample analysis," Energy, Elsevier, vol. 229(C).
  98. Pan, Qunxing & Mei, Xiaowen & Gao, Tianqing, 2022. "Modeling dynamic conditional correlations with leverage effects and volatility spillover effects: Evidence from the Chinese and US stock markets affected by the recent trade friction," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  99. Cesario Mateus & Miramir Bagirov & Irina Mateus, 2024. "Return and volatility connectedness and net directional patterns in spillover transmissions: East and Southeast Asian equity markets," International Review of Finance, International Review of Finance Ltd., vol. 24(1), pages 83-103, March.
  100. Yang Liu & Xueqing Yang & Mei Wang, 2021. "Global Transmission of Returns among Financial, Traditional Energy, Renewable Energy and Carbon Markets: New Evidence," Energies, MDPI, vol. 14(21), pages 1-32, November.
  101. Beirne, John & Renzhi, Nuobu & Volz, Ulrich, 2021. "When the United States and the People’s Republic of China Sneeze: International Real and Financial Spillovers in Asia," ADBI Working Papers 1288, Asian Development Bank Institute.
  102. Tong, Bin & Diao, Xundi & Wu, Chongfeng, 2015. "Modeling asymmetric and dynamic dependence of overnight and daytime returns: An empirical evidence from China Banking Sector," Economic Modelling, Elsevier, vol. 51(C), pages 366-382.
  103. Wang, Ze & Gao, Xiangyun & An, Haizhong & Tang, Renwu & Sun, Qingru, 2020. "Identifying influential energy stocks based on spillover network," International Review of Financial Analysis, Elsevier, vol. 68(C).
  104. Zhang, Dayong & Shi, Min & Shi, Xunpeng, 2018. "Oil indexation, market fundamentals, and natural gas prices: An investigation of the Asian premium in natural gas trade," Energy Economics, Elsevier, vol. 69(C), pages 33-41.
  105. Jiasha Fu & Hui Qiao, 2022. "The Time-Varying Connectedness Between China’s Crude Oil Futures and International Oil Markets: A Return and Volatility Spillover Analysis," Letters in Spatial and Resource Sciences, Springer, vol. 15(3), pages 341-376, December.
  106. Shi, Yujie & Wang, Liming, 2023. "Comparing the impact of Chinese and U.S. economic policy uncertainty on the volatility of major global stock markets," Global Finance Journal, Elsevier, vol. 57(C).
  107. Domingo Rodríguez Benavides & Nancy Muller Durán & José Antonio Climent Hernández, 2021. "Spillovers entre los principales Mercados Accionarios de Latinoamérica, Estados Unidos y el Mercado Petrolero," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-18, Enero - M.
  108. Zhang, Weiping & Zhuang, Xintian & Wu, Dongmei, 2020. "Spatial connectedness of volatility spillovers in G20 stock markets: Based on block models analysis," Finance Research Letters, Elsevier, vol. 34(C).
  109. Iwanicz-Drozdowska, Małgorzata & Rogowicz, Karol & Kurowski, Łukasz & Smaga, Paweł, 2021. "Two decades of contagion effect on stock markets: Which events are more contagious?," Journal of Financial Stability, Elsevier, vol. 55(C).
  110. Adeniyi Adeosun, Opeoluwa & Anagreh, Suhaib & Tabash, Mosab I. & Adedokun, Adebayo, 2023. "Revisiting the connectedness between oil prices and uncertainty indicators in BRICS countries," Resources Policy, Elsevier, vol. 86(PA).
  111. Mensi, Walid & Ziadat, Salem Adel & Rababa'a, Abdel Razzaq Al & Vo, Xuan Vinh & Kang, Sang Hoon, 2024. "Oil, gold and international stock markets: Extreme spillovers, connectedness and its determinants," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 1-17.
  112. Vlasova, E. & Luo, D., 2022. "Volatility spillover between the Russia-India-China triad and the United States: A multivariate generalized autoregressive conditional heteroscedasticity analysis," Journal of the New Economic Association, New Economic Association, vol. 54(2), pages 111-128.
  113. Zhang, Weiping & Zhuang, Xintian & Lu, Yang & Wang, Jian, 2020. "Spatial linkage of volatility spillovers and its explanation across G20 stock markets: A network framework," International Review of Financial Analysis, Elsevier, vol. 71(C).
  114. Gilenko, Evgenii & Fedorova, Elena, 2014. "Internal and external spillover effects for the BRIC countries: Multivariate GARCH-in-mean approach," Research in International Business and Finance, Elsevier, vol. 31(C), pages 32-45.
  115. Davide De Gaetano, 2018. "Forecast Combinations for Structural Breaks in Volatility: Evidence from BRICS Countries," JRFM, MDPI, vol. 11(4), pages 1-13, October.
  116. He, Xie & Hamori, Shigeyuki, 2021. "Is volatility spillover enough for investor decisions? A new viewpoint from higher moments," Journal of International Money and Finance, Elsevier, vol. 116(C).
  117. Jiang, Junhua, 2017. "Discount rate or cash flow contagion? Evidence from the recent financial crises," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 315-326.
  118. Cynthia Sari DEWI & Florentina KURNIASARI & Helena DEWI & Eko ENDARTO & Nurhuda NIZAR, 2021. "Return Spillover Between The U.S., Japanese, And Indonesian Stock Market During Covid-19," Business Excellence and Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 11(5), pages 196-207, October.
  119. Múnera, Daimer J. & Agudelo, Diego A., 2022. "Who moved my liquidity? Liquidity evaporation in emerging markets in periods of financial uncertainty," Journal of International Money and Finance, Elsevier, vol. 129(C).
  120. Maitra, Debasish & Chandra, Saurabh & Dash, Saumya Ranjan, 2020. "Liner shipping industry and oil price volatility: Dynamic connectedness and portfolio diversification," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 138(C).
  121. Liow, Kim Hiang, 2015. "Volatility spillover dynamics and relationship across G7 financial markets," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 328-365.
  122. N. Antonakakis & H. Badinger, 2014. "International business cycle spillovers since the 1870s," Applied Economics, Taylor & Francis Journals, vol. 46(30), pages 3682-3694, October.
  123. Shuangqi Li & Qi‐an Chen, 2021. "Do the Shanghai–Hong Kong & Shenzhen–Hong Kong Stock Connect programs enhance co‐movement between the Mainland Chinese, Hong Kong, and U.S. stock markets?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2871-2890, April.
  124. Yusaku Nishimura & Yoshiro Tsutsui & Kenjiro Hirayama, 2017. "Do International Investors Cause Stock Market Comovements? Comparing Responses of Cross-Listed Stocks between Accessible and Inaccessible Markets," Discussion Papers in Economics and Business 17-01, Osaka University, Graduate School of Economics.
  125. Kim Hiang Liow, 2014. "The dynamics of return co-movements and volatility spillover effects in Greater China public property markets and international linkages," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 32(6), pages 610-641, August.
  126. John Beirne & Nuobu Renzhi & Ulrich Volz, 2023. "When the United States and the People’s Republic of China Sneeze: Monetary Policy Spillovers to Asian Economies," Open Economies Review, Springer, vol. 34(3), pages 519-540, July.
  127. Danyan Wen & Mengxi He & Yaojie Zhang & Yudong Wang, 2022. "Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 230-251, March.
  128. Chien-Fu Chen & Shu-hen Chiang, 2020. "Time-varying spillovers among first-tier housing markets in China," Urban Studies, Urban Studies Journal Limited, vol. 57(4), pages 844-864, March.
  129. Mehmet Balcilar & Usman Ojonugwa, 2018. "Exchange rate and oil price pass-through to inflation in BRICS countries: Evidence from the spillover index and rolling-sample analysis," Working Papers 15-45, Eastern Mediterranean University, Department of Economics.
  130. Jouini, Jamel, 2015. "New empirical evidence from assessing financial market integration, with application to Saudi Arabia," Economic Modelling, Elsevier, vol. 49(C), pages 198-211.
  131. Hongyi Chen & Michael Funke & Andrew Tsang, 2016. "The Diffusion and Dynamics of Producer Prices, Deflationary Pressure across Asian Countries, and the Role of China," Working Papers 152016, Hong Kong Institute for Monetary Research.
  132. Kim, Myeong Hyeon & Sun, Lingxia, 2017. "Dynamic conditional correlations between Chinese sector returns and the S&P 500 index: An interpretation based on investment shocks," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 309-325.
  133. Julián Andrada-Félix & Adrian Fernandez-Perez & Simón Sosvilla-Rivero, 2018. "Fear connectedness among asset classes," Applied Economics, Taylor & Francis Journals, vol. 50(39), pages 4234-4249, August.
  134. Zhang, Bing & Wang, Peijie, 2014. "Return and volatility spillovers between china and world oil markets," Economic Modelling, Elsevier, vol. 42(C), pages 413-420.
  135. Wang, Yudong & Guo, Zhuangyue, 2018. "The dynamic spillover between carbon and energy markets: New evidence," Energy, Elsevier, vol. 149(C), pages 24-33.
  136. Kang, Sang Hoon & McIver, Ron & Yoon, Seong-Min, 2017. "Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets," Energy Economics, Elsevier, vol. 62(C), pages 19-32.
  137. Do, A. & Powell, R. & Yong, J. & Singh, A., 2020. "Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  138. Yahyaei, Hamid & Singh, Abhay & De Mello, Lurion, 2024. "The Federal Reserve’s Quantitative Easing policy and volatility spillovers: Evidence from Australia," International Review of Economics & Finance, Elsevier, vol. 94(C).
  139. Dahl, Roy Endré & Jonsson, Erlendur, 2018. "Volatility spillover in seafood markets," Journal of Commodity Markets, Elsevier, vol. 12(C), pages 44-59.
  140. Antonakakis, Nikolaos & Dragouni, Mina & Filis, George, 2013. "Time-Varying Interdependencies of Tourism and Economic Growth: Evidence from European Countries," MPRA Paper 48715, University Library of Munich, Germany.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.