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Sensitivity, persistence and asymmetric effects in international stock market volatility during the global financial crisis

Gabriel, Vitor - In: Revista de métodos cuantitativos para la economía y … 19 (2015), pp. 42-65

and market regulation. The Subprime crisis affected all markets around the world. Daily data of twelve stock indexes for …

Persistent link: https://www.econbiz.de/10011306093

How close a relationship does a capital market have with other markets? : a reexamination based on the equal variance test

Yang, Lixiong; Lee, Chingnun; Shie, Fu-shuen - In: Pacific-Basin finance journal 26 (2014), pp. 198-226

Persistent link: https://www.econbiz.de/10010498742

A multicountry measure of comovement and contagion in international markets : definition and applications

Tessler, Nina; Venezia, Itzhak - In: Review of quantitative finance and accounting 58 (2022) 4, pp. 1307-1330

Persistent link: https://www.econbiz.de/10013191882

Market maturity and mispricing

Jacobs, Heiko - In: Journal of financial economics 122 (2016) 2, pp. 270-287

Persistent link: https://www.econbiz.de/10011590903

The relationship between stock returns and volatility in the seventeen largest international stock markets : a semi-parametric approach

Dimitriou, Dimitrios; Simos, Theodore - In: Modern economy 2 (2011) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10009305794

The role of non-critical business and telework propensity in international stock markets during the COVID-19 pandemic

Silva, Thiago Christiano; Wilhelm, Paulo Victor Berri; … - In: Journal of international financial markets, … 79 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013358724

The 2011 Japanese earthquake, tsunami and nuclear crisis : evidence of contagion from international financial markets

Asongu, Simplice A. - In: Journal of financial economic policy 4 (2012) 4, pp. 340-353

Persistent link: https://www.econbiz.de/10009674774

Capital markets integration and cointegration : testing for the correct specification of stock market indices

Agoraki, Maria-Eleni K.; Georgoutsos, Demetris A.; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/186, pp. 1-20

testing methodology on monthly data for the US, UK, Germany, and Japan for the period January 1980-May 2019. The main findings …

Persistent link: https://www.econbiz.de/10012171036

The role of jumps and leverage in forecasting volatility in international equity markets

Buncic, Daniel; Gisler, Katja Ida Maria - In: Journal of international money and finance 79 (2017), pp. 1-19

Persistent link: https://www.econbiz.de/10011788346

A Gravity Analysis of International Stock Market Linkages

Wong, Wing-Keung - 2014

The last decade has witnessed a marked improvement in information technology. Such an improvement has reduced the information cost for market participants. Thus, whether the influence of geographic factors on international financial linkage is still significant nowadays is an important question...

Persistent link: https://www.econbiz.de/10013069075

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