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The transmission of shocks among S&P indexes

Citations

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Cited by:

  1. James Payne, 2003. "Shocks to macroeconomic state variables and the risk premium of REITs," Applied Economics Letters, Taylor & Francis Journals, vol. 10(11), pages 671-677.
  2. Klaus Grobys & Sami Vähämaa, 0. "Another look at value and momentum: volatility spillovers," Review of Quantitative Finance and Accounting, Springer, vol. 0, pages 1-21.
  3. Ewing Bradley T. & Thompson Mark A., 2012. "Historical Returns and the Appropriate Time-Frame for Future Value Calculations: Implications for Risk Management and Personal Financial Planning," Journal of Business Valuation and Economic Loss Analysis, De Gruyter, vol. 7(1), pages 1-12, May.
  4. Malik, Farooq & Ewing, Bradley T., 2009. "Volatility transmission between oil prices and equity sector returns," International Review of Financial Analysis, Elsevier, vol. 18(3), pages 95-100, June.
  5. Naeem, Muhammad Abubakr & Karim, Sitara & Tiwari, Aviral Kumar, 2022. "Quantifying systemic risk in US industries using neural network quantile regression," Research in International Business and Finance, Elsevier, vol. 61(C).
  6. Amado Peiró, 2016. "Cross-autocorrelations in European stock returns," Economics and Business Letters, Oviedo University Press, vol. 5(1), pages 30-37.
  7. Zhang, Weiping & Zhuang, Xintian & Wang, Jian & Lu, Yang, 2020. "Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  8. Yavas, Burhan F. & Dedi, Lidija, 2016. "An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries," Research in International Business and Finance, Elsevier, vol. 37(C), pages 583-596.
  9. Wang, Zijun & Kutan, Ali M. & Yang, Jian, 2005. "Information flows within and across sectors in Chinese stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 767-780, September.
  10. Youta Ishii, 2008. "International transmissions in US-Japanese stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 18(15), pages 1193-1200.
  11. Nguyen, Linh Xuan Diep & Mateut, Simona & Chevapatrakul, Thanaset, 2020. "Business-linkage volatility spillovers between US industries," Journal of Banking & Finance, Elsevier, vol. 111(C).
  12. Wu, Fei & Zhang, Dayong & Zhang, Zhiwei, 2019. "Connectedness and risk spillovers in China’s stock market: A sectoral analysis," Economic Systems, Elsevier, vol. 43(3).
  13. Bradley T. Ewing & Jamie B. Kruse & Mark A. Thompson, 2005. "Comparing the Impact of News: A Tale of Three Health Care Sectors," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(7‐8), pages 1587-1611, September.
  14. Jian Yang & James Kolari & Guozhong Zhu, 2005. "European public real estate market integration," Applied Financial Economics, Taylor & Francis Journals, vol. 15(13), pages 895-905.
  15. Jian Yang, 2005. "Government bond market linkages: evidence from Europe," Applied Financial Economics, Taylor & Francis Journals, vol. 15(9), pages 599-610.
  16. Tian, Hu & Zheng, Xiaolong & Zeng, Daniel Danjun, 2019. "Analyzing the dynamic sectoral influence in Chinese and American stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
  17. Farooq Malik, 2022. "Volatility spillover among sector equity returns under structural breaks," Review of Quantitative Finance and Accounting, Springer, vol. 58(3), pages 1063-1080, April.
  18. Ngene, Geoffrey M., 2021. "What drives dynamic connectedness of the U.S equity sectors during different business cycles?," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  19. Klaus Grobys & Sami Vähämaa, 2020. "Another look at value and momentum: volatility spillovers," Review of Quantitative Finance and Accounting, Springer, vol. 55(4), pages 1459-1479, November.
  20. Lidija Dedi & Burhan F. Yavas, 2016. "Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1266788-126, December.
  21. Wu, Fei, 2019. "Sectoral contributions to systemic risk in the Chinese stock market," Finance Research Letters, Elsevier, vol. 31(C).
  22. Ahmed, Walid M.A., 2011. "Comovements and Causality of Sector Price Indices: Evidence from the Egyptian Stock Exchange," MPRA Paper 28127, University Library of Munich, Germany.
  23. Walid M.A. Ahmed, 2012. "On the interdependence structure of market sector indices: the case of Qatar Exchange," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 11(4), pages 468-488, October.
  24. Hassan, Syed Aun & Malik, Farooq, 2007. "Multivariate GARCH modeling of sector volatility transmission," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(3), pages 470-480, July.
  25. Haizhen Yang & Xiangjuan Cheng & Qiubin Huang & Qiao Wang, 2019. "Systemic Risk in the Chinese Stock Market Under Different Regimes: A Sector-Level Perspective," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 9(6), pages 665-679, June.
  26. Ouyang, Minhua & Xiao, Hailian, 2024. "Tail risk spillovers among Chinese stock market sectors," Finance Research Letters, Elsevier, vol. 62(PB).
  27. Gulin Vardar & Gokce Tunc & Berna Aydogan, 2012. "Long-Run and Short-Run Dynamics among the Sectoral Stock Indices: Evidence from Turkey," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 2(2), pages 347-357, June.
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