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Efficiency, cointegration and contagion in equity markets : evidence from China, Japan and South Korea
Azad, A. S. M. Sohel - In: Asian economic journal : journal of the East Asian … 23 (2009) 1, pp. 93-118
Persistent link: https://www.econbiz.de/10003832158
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The stability of long-run relationships : a study on Asian emerging and developed stock markets (Japan and US)
Batareddy, Murali; Gopalaswamy, Arun Kunmar; Huang, … - In: International journal of emerging markets 7 (2012) 1, pp. 31-48
Persistent link: https://www.econbiz.de/10009547480
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The impact of China's stock market reforms on its international stock market linkages
Li, Hong - In: The quarterly review of economics and finance : journal … 52 (2012) 4, pp. 358-368
Persistent link: https://www.econbiz.de/10009700551
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Volatility contagion across the equity markets of developed and emerging market economies
Hattori, Masazumi; Shim, Ilhyock; Sugihara, Yoshihiko - 2016
Using variance risk premiums (VRPs) nonparametrically calculated from equity markets in selected major developed economies and emerging market economies (EMEs) over 2007 - 2015, we document the correlation of VRPs across the markets and examine whether equity fund flows work as a path through...
Persistent link: https://www.econbiz.de/10011522100
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The impact of the US and the Japanese equity markets on the emerging Asia-Pacific equity markets
Cha, Baekin; Cheung, Yan-leung - In: Asia-Pacific financial markets 5 (1998) 3, pp. 191-209
Persistent link: https://www.econbiz.de/10001372066
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What Drives the Stock Market Comovements between Korea and China, Japan and the U.S.?
Lee, Jinsoo - 2018
This paper measures the extent of comovements in stock returns between Korea and three major countries (China, Japan … and the U.S.) using industry-level data for Korea from 2003 to 2016 in the spirit of the international capital asset … pricing model. It also examines what drives the comovements between Korea and the three countries. We find that the …
Persistent link: https://www.econbiz.de/10012920780
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What Drives the Stock Market Comovements between Korea and China, Japan and the US?
Lee, Jinsoo - 2018
This paper measures the extent of comovements in stock returns between Korea and three major countries (China, Japan … and the US) using the industry-level data for Korea from 2003 to 2016, in the spirit of the international capital asset … pricing model. It also examines what drives the comovements between Korea and the three countries.We find that the comovements …
Persistent link: https://www.econbiz.de/10012929624
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What drives the stock market comovements between Korea and China, Japan and the U.S.?
Lee, Jinsoo; Yu, Bok-Keun - In: Han gug gae bal yeon gu 40 (2018) 1, pp. 45-66
Persistent link: https://www.econbiz.de/10011844264
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Volatility contagion across the equity markets of developed and emerging market economies
Hattori, Masazumi; Shim, Ilhyock; Sugihara, Yoshihiko - In: Macroeconomic shocks and unconventional monetary policy …, (pp. 99-117). 2019
Persistent link: https://www.econbiz.de/10012135322
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Stock markets and cultural dimensions: a comparison between Japan, South Korea and China
Nivoix, Sophie; Rey, Serge - In: Asia-Europe industrial connectivity in times of crisis, (pp. 193-211). 2022
Persistent link: https://www.econbiz.de/10014249353