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Global capital market interdependence and spillover effect of credit risk : evidence from the 2007 - 2009 global financial crisis

Cheung, William; Fung, Scott; Tsai, Shi-chuan - In: Applied financial economics 20 (2010) 1/3, pp. 85-103

This article examines the impact of the 2007-2009 Global Financial Crisis on the interrelationships among global stock markets and the informational role of the TED spread as perceived credit risk. The current crisis originated from the dominant US market has a prompt and pervasive spillover...

Persistent link: https://www.econbiz.de/10003935980

Stock market integration and financial crises : the case of Asia

Yang, Jian; Kolari, James W.; Min, Insik - In: Applied financial economics 13 (2003) 7, pp. 477-486

Persistent link: https://www.econbiz.de/10001770767

Stock market integration : evidence on price integration and return convergence

Heimonen, Kari - In: Applied financial economics 12 (2002) 6, pp. 415-429

Persistent link: https://www.econbiz.de/10001671114

International portfolio diversification to Central European stock markets

Syriopoulos, Theodore - In: Applied financial economics 14 (2004) 17, pp. 1253-1268

Persistent link: https://www.econbiz.de/10002415125

Testing for market segmentation in the A and B share markets of China

Chelley-Steeley, Patricia L.; Qian, Weihua - In: Applied financial economics 15 (2005) 11, pp. 791-802

Persistent link: https://www.econbiz.de/10003016844

Stock market integration and macroeconomic fundamentals : an empirical analysis, 1980 - 95

Dickinson, David G. - In: Applied financial economics 10 (2000) 3, pp. 261-276

Persistent link: https://www.econbiz.de/10001526285

Modelling the linkages between the Australian and G7 stock markets : common stochastic trends and regime shifts

Narayan, Paresh Kumar; Smyth, Russell - In: Applied financial economics 14 (2004) 14, pp. 991-1004

Persistent link: https://www.econbiz.de/10002377741

Approriate lag specification for daily responses of international stock markets

Tsutsui, Yoshirō; Hirayama, Kenjiro - In: Applied financial economics 14 (2004) 14, pp. 1017-1025

Persistent link: https://www.econbiz.de/10002377754

Spillovers and correlations between US and major European stock markets : the role of the euro

Savva, Christos S.; Osborn, Denise R.; Gill, Len - In: Applied financial economics 19 (2009) 19/21, pp. 1595-1604

integration of these markets. Other findings include the presence of spillover effects from foreign markets for both returns and …

Persistent link: https://www.econbiz.de/10003904304

The relative influence of the East and the West on Middle Eastern emerging stock markets : an empirical investigation

Ajayi, Richard A.; Mehdian, Seyed M.; Perry, Mark J. - In: Applied financial economics 20 (2010) 4/6, pp. 407-415

This article examines the relative influence of the US, UK and Japan on Middle Eastern Emerging Markets (MEEMs). The empirical results, from maximum likelihood regressions, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models and Vector Autoregression (VAR) estimates, provide...

Persistent link: https://www.econbiz.de/10003963313