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Modeling dependence structures among international stock markets : evidence from hierarchical Archimedean copulas

Yang, Lu; Cai, Xiao Jing; Mengling Li; Hamori, Shigeyuki - In: Economic modelling 51 (2015), pp. 308-314

Persistent link: https://www.econbiz.de/10011476020

Modeling the dependence structure of share prices among three Chinese city banks

Liu, Guizhou; Cai, Xiao Jing; Hamori, Shigeyuki - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-18

We study the dependence structure of share price returns among the Beijing Bank, Ningbo Bank, and Nanjing Bank using copula models. We use the normal, Student’s t, rotated Gumbel, and symmetrized Joe-Clayton (SJC) copula models to estimate the underlying dependence structure in two periods:...

Persistent link: https://www.econbiz.de/10011961448

Interdependence between oil and East Asian stock markets : evidence from wavelet coherence analysis

Cai, Xiao Jing; Tian, Shuairu; Yuan, Nannan; Hamori, … - In: Journal of international financial markets, … 48 (2017), pp. 206-223

Persistent link: https://www.econbiz.de/10011892354

Spillover effect of US monetary policy to ASEAN stock markets : evidence from Indonesia, Singapore, and Thailand

Yang, Lu; Hamori, Shigeyuki - In: Pacific-Basin finance journal 26 (2014), pp. 145-155

Persistent link: https://www.econbiz.de/10010498752

Dependence structures between Chinese stock markets and the international financial market : evidence from a wavelet-based quantile regression approach

Yang, Lu; Tian, Shuairu; Yang, Wei; Xu, Mingli; Hamori, … - In: The North American journal of economics and finance : a … 45 (2018), pp. 116-137

Persistent link: https://www.econbiz.de/10012117763

Information disclosure ratings and continuing overreaction : evidence from the Chinese capital market

Ho, Kung-Cheng; Yang, Lu; Luo, Sijia - In: Journal of business research : JBR 140 (2022), pp. 638-656

Persistent link: https://www.econbiz.de/10013040730

Market sentiment and investor overreaction : evidence from New York listed Asian Country Exchange Traded Funds

Ma, Jason Zhe; Ho, Kung-Cheng; Yang, Lu; Chu, Chien-Chi - In: Emerging markets finance & trade : a journal of the … 54 (2018) 10/11/12, pp. 2455-2471

Persistent link: https://www.econbiz.de/10012124750

Do international stock prices reflect international business cycles?

Hamori, Shigeyuki - In: Business fluctuations and cycles, (pp. 193-202). 2008

Persistent link: https://www.econbiz.de/10003854130

Do international stock prices reflect international business cycles?

Hamori, Shigeyuki - In: Global stock exchanges : stability, interrelationships, …, (pp. 189-198). 2009

Persistent link: https://www.econbiz.de/10008840544

Do international stock prices reflect international business cycles?

Hamori, Shigeyuki - In: Progress in economics research 9 (2004), pp. 1-10

Persistent link: https://www.econbiz.de/10003366769