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Dependence structures in Chinese and US financial markets : a time-varying conditional copula approach

Hu, Jian - In: Applied financial economics 20 (2010) 7/9, pp. 561-583

Persistent link: https://www.econbiz.de/10009009328

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

Cheung, William Ming Yan; 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

Cross-border sentiment : an empirical analysis on EU stock markets

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Testing purchasing power parity hypothesis for transition economies

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Stock return dynamics and stock market interdependencies

Tsouma, Ekaterini - In: Applied financial economics 17 (2007) 10/12, pp. 805-825

Persistent link: https://www.econbiz.de/10003537547

Dynamic correlation analysis of financial contagion in Asian markets in global financial turmoil

Yiu, Matthew S.; Ho, Wai-yip Alex; Choi, Daniel F. S. - In: Applied financial economics 20 (2010) 4/6, pp. 345-354

This article investigates the dynamics of correlation between 11 Asian stock markets and the US stock market. By utilizing the method of 'principal components', we identify a single latent factor that can explain a major portion of variation in the weekly returns of these 11 markets from 1993 to...

Persistent link: https://www.econbiz.de/10003963165