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Mean and Volatility Spillover Effects in the U.S. and Pacific–Basin Stock Markets

Citations

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Cited by:

  1. Ngene, Geoffrey & Post, Jordin A. & Mungai, Ann N., 2018. "Volatility and shock interactions and risk management implications: Evidence from the U.S. and frontier markets," Emerging Markets Review, Elsevier, vol. 37(C), pages 181-198.
  2. Walid M.A. Ahmed, 2016. "Cross-border equity flows and market volatility: the case of Qatar Exchange," International Journal of Emerging Markets, Emerald Group Publishing Limited, vol. 11(3), pages 395-418, July.
  3. Ngan, Nguyen Thi & Lab, SDAG, 2019. "The effects from the United States and Japan to emerging stock markets in Asia and Vietnam," OSF Preprints 8kab7, Center for Open Science.
  4. Jin, Xiaoye, 2015. "Volatility transmission and volatility impulse response functions among the Greater China stock markets," Journal of Asian Economics, Elsevier, vol. 39(C), pages 43-58.
  5. Kyosuke Shiotani & Yoichi Matsubayashi, 2013. "Financial Market Linkage In East Asian Countries," World Scientific Book Chapters, in: Takuji Kinkyo & Yoichi Matsubayashi & Shigeyuki Hamori (ed.), Global Linkages and Economic Rebalancing in East Asia, chapter 3, pages 43-63, World Scientific Publishing Co. Pte. Ltd..
  6. 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.
  7. Lee, Yuan-Ming & Wang, Kuan-Min, 2011. "The effectiveness of the sunshine effect in Taiwan's stock market before and after the 1997 financial crisis," Economic Modelling, Elsevier, vol. 28(1-2), pages 710-727, January.
  8. Wan-Chien Chiua & Juan Ignacio Pe~na & Chih-Wei Wang, 2022. "Industry Characteristics and Financial Risk Spillovers," Papers 2202.02263, arXiv.org.
  9. Kim Hiang Liow, 2012. "Volatility interdependence in European securitised real estate markets: who is the most influential?," ERES eres2012_020, European Real Estate Society (ERES).
  10. Miralles-Quirós, José Luis & Daza-Izquierdo, Julio, 2015. "Do DOW returns really influence the intraday Spanish stock market behavior?," Research in International Business and Finance, Elsevier, vol. 33(C), pages 99-126.
  11. Tho D.Q. Nguyen & Jian Wu, 2010. "Spillover impacts of the US macroeconomic news: Australian sectoral perspective," Economics Bulletin, AccessEcon, vol. 30(3), pages 1753-1771.
  12. Xiaozhen Jing & Dezhong Xu & Bin Li & Tarlok Singh, 2024. "Does the U.S. extreme indicator matter in stock markets? International evidence," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-27, December.
  13. Koulakiotis, Athanasios & Babalos, Vassilios & Papasyriopoulos, Nicholas, 2016. "Financial crisis, liquidity and dynamic linkages between large and small stocks: Evidence from the Athens Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 46-62.
  14. Ozdemir, Zeynel Abidin, 2009. "Linkages between international stock markets: A multivariate long-memory approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(12), pages 2461-2468.
  15. Supachok Thakolsri & Yuthana Sethapramote & Komain Jiranyakul, 2016. "Implied Volatility Transmissions Between Thai and Selected Advanced Stock Markets," SAGE Open, , vol. 6(3), pages 21582440166, July.
  16. Fahad Waqas Mir & Nousheen Tariq Bhutta, 2024. "Impact of return and volatility spillover from banking industry to other industries: An evidence from Pakistan," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 1680-1695, April.
  17. Kurt Brannas & Albina Soultanaeva, 2011. "Influence of news from Moscow and New York on returns and risks of Baltic States’ stock markets," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 11(1), pages 109-124, July.
  18. Trang Nha Le & Makoto Kakinaka, 2010. "International Transmission Of Stock Returns: Mean And Volatility Spillover Effects In Indonesia And Malaysia," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 4(1), pages 115-131.
  19. Usman M. Umer, Metin Coskun, Kasim Kiraci, 2018. "Time-varying Return and Volatility Spillover among EAGLEs Stock Markets: A Multivariate GARCH Analysis," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 3(1), pages 23-42, March.
  20. Chiu, Wan-Chien & Peña, Juan Ignacio & Wang, Chih-Wei, 2015. "Industry characteristics and financial risk contagion," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 411-427.
  21. Hasan, Md Abu, 2019. "Co-Movement and Volatility Transmission between Islamic and Conventional Equity Index in Bangladesh," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 26, pages 43-71.
  22. Rajni Kant Rajhans & Anuradha Jain, 2015. "Volatility Spillover in Foreign Exchange Markets," Paradigm, , vol. 19(2), pages 137-151, December.
  23. Suk-Joong Kim, 2018. "Information Leadership in the Advanced Asia-Pacific Stock Markets: Return, Volatility and Volume Information Spillovers from the US and Japan," World Scientific Book Chapters, in: Information Spillovers and Market Integration in International Finance Empirical Analyses, chapter 9, pages 271-304, World Scientific Publishing Co. Pte. Ltd..
  24. Mala Raghavan & Jonathan Dark & Elizabeth Ann Maharaj, 2010. "Impact of capital control measures on the Malaysian stock market," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 6(2), pages 116-127, April.
  25. Kim Hiang Liow & Joseph Ooi & Yantao Gong, 2005. "Cross‐market dynamics in property stock markets," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 23(1), pages 55-75, February.
  26. 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.
  27. Khamis Hamed Al‐Yahyaee & Syed Jawad Hussain Shahzad & Walid Mensi & Seong‐Min Yoon, 2021. "Is there a systemic risk between Sharia, Sukuk, and GCC stock markets? A ΔCoVaR risk metric‐based copula approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2904-2926, April.
  28. Duc Khuong Nguyen & Mondher Bellalah, 2007. "Testing for Structural Breaks and Dynamic Changes in Emerging Market Volatility," Working Papers 02, Development and Policies Research Center (DEPOCEN), Vietnam.
  29. Li, Wei-Xuan & Chen, Clara Chia-Sheng & Nguyen, James, 2022. "Which market dominates the price discovery in currency futures? The case of the Chicago Mercantile Exchange and the Intercontinental Exchange," Global Finance Journal, Elsevier, vol. 52(C).
  30. Ozdemir, Zeynel Abidin & Olgun, Hasan & Saracoglu, Bedriye, 2009. "Dynamic linkages between the center and periphery in international stock markets," Research in International Business and Finance, Elsevier, vol. 23(1), pages 46-53, January.
  31. Abraham, Abraham & Seyyed, Fazal J., 2006. "Information transmission between the Gulf equity markets of Saudi Arabia and Bahrain," Research in International Business and Finance, Elsevier, vol. 20(3), pages 276-285, September.
  32. Rabeh Khalfaoui & Sakiru Adebola Solarin & Adel Al-Qadasi & Sami Ben Jabeur, 2022. "Dynamic causality interplay from COVID-19 pandemic to oil price, stock market, and economic policy uncertainty: evidence from oil-importing and oil-exporting countries," Annals of Operations Research, Springer, vol. 313(1), pages 105-143, June.
  33. Cha, Baekin & Oh, Sekyung, 2000. "The relationship between developed equity markets and the Pacific Basin's emerging equity markets," International Review of Economics & Finance, Elsevier, vol. 9(4), pages 299-322, October.
  34. Gregory C Chow & Shicheng Huang & Linlin Niu, 2013. "Econometric Analysis of Stock Price Co-movement in the Economic Integration of East Asia," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  35. Chee Wooi Hooy & Hui Boon Tan & Annuar Md Nassir, 2004. "Risk Sensitivity of Bank Stocks in Malaysia: Empirical Evidence Across the Asian Financial Crisis," Asian Economic Journal, East Asian Economic Association, vol. 18(3), pages 261-276, September.
  36. 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.
  37. 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.
  38. Saffet Akdag & Ömer İskenderoglu & Andrew Adewale Alola, 2020. "The volatility spillover effects among risk appetite indexes: insight from the VIX and the rise," Letters in Spatial and Resource Sciences, Springer, vol. 13(1), pages 49-65, April.
  39. Paul McGuinness, 2005. "A re-examination of the holiday effect in stock returns: the case of Hong Kong," Applied Financial Economics, Taylor & Francis Journals, vol. 15(16), pages 1107-1123.
  40. Kim Liow & Zhiwei Chen & Jingran Liu, 2011. "Multiple Regimes and Volatility Transmission in Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 42(3), pages 295-328, April.
  41. 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.
  42. Zhang, Yulian & He, Xie & Nakajima, Tadahiro & Hamori, Shigeyuki, 2020. "Oil, Gas, or Financial Conditions-Which One Has a Stronger Link with Growth?," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  43. Terrance Grieb, 2015. "Mean and volatility transmission for commodity futures," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(1), pages 100-118, January.
  44. Deven Bathia & Don Bredin & Dirk Nitzsche, 2016. "International Sentiment Spillovers in Equity Returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(4), pages 332-359, October.
  45. 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.
  46. Liu, Lu, 2014. "Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 39-48.
  47. Jose Luis Miralles-Marcelo & Jose Luis Miralles-Quiros & Maria del Mar Miralles-Quiros, 2010. "Intraday linkages between the Spanish and the US stock markets: evidence of an overreaction effect," Applied Economics, Taylor & Francis Journals, vol. 42(2), pages 223-235.
  48. Muhammad Niaz Khan & Suzanne G. M. Fifield & Nongnuch Tantisantiwong & David M. Power, 2022. "Changes in co-movement and risk transmission between South Asian stock markets amidst the development of regional co-operation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(1), pages 87-117, March.
  49. Gannon, Gerard & Au-Yeung, Siu Pang, 2004. "Structural effects and spillovers in HSIF, HSI and S&P500 volatility," Research in International Business and Finance, Elsevier, vol. 18(3), pages 305-317, September.
  50. Kung, Ling-Ming & Yu, Shang-Wu, 2008. "Prediction of index futures returns and the analysis of financial spillovers--A comparison between GARCH and the grey theorem," European Journal of Operational Research, Elsevier, vol. 186(3), pages 1184-1200, May.
  51. Ortiz, Edgar & Arjona, Enrique, 2001. "Heterokedastic behavior of the Latin American emerging stock markets," International Review of Financial Analysis, Elsevier, vol. 10(3), pages 287-305.
  52. Miralles-Marcelo, José Luis & Miralles-Quirós, María del Mar & Miralles-Quirós, José Luis, 2015. "Improving international diversification benefits for US investors," The North American Journal of Economics and Finance, Elsevier, vol. 32(C), pages 64-76.
  53. Thomas Chiang & Lin Tan & Jiandong Li & Edward Nelling, 2013. "Dynamic Herding Behavior in Pacific-Basin Markets: Evidence and Implications," Multinational Finance Journal, Multinational Finance Journal, vol. 17(3-4), pages 165-200, September.
  54. repec:zbw:bofitp:2008_008 is not listed on IDEAS
  55. Asjeet S. Lamba & Isaac Otchere, 2001. "An Analysis of the Dynamic Relationships Between the South African Equity Market and Major World Equity Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 5(3), pages 201-224, September.
  56. Olgun, Hasan & Ozdemir, Zeynel Abidin, 2008. "Linkages between the center and periphery stock prices: Evidence from the vector ARFIMA model," Economic Modelling, Elsevier, vol. 25(3), pages 512-519, May.
  57. Soobin Kim & Chang Sik Kim, 2010. "Do S&P 500 and KOSPI Move Together?: A Functional Regression Approach," Korean Economic Review, Korean Economic Association, vol. 26, pages 401-430.
  58. P. Simmons & N. Tantisantiwong, 2014. "Equilibrium moment restrictions on asset returns: normal and crisis periods," The European Journal of Finance, Taylor & Francis Journals, vol. 20(11), pages 1064-1089, November.
  59. Isha Narula, 2016. "Dynamics of volatility behaviour and transmission: evidences from BRICS countries," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 43(1), pages 31-51, March.
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