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Return and volatility spillovers across equity markets in mainland China, Hong Kong and the United States

Mohammadi, Hassan; Tan, Yuting - In: Econometrics : open access journal 3 (2015) 2, pp. 215-232

Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China …

Persistent link: https://www.econbiz.de/10011296721

Pre-holiday effects : international evidence on the decline and reversal of a stock market anomaly

Chong, Ryan; Hudson, Robert; Keasey, Kevin; Littler, Kevin - In: Journal of international money and finance 24 (2005) 8, pp. 1226-1236

Persistent link: https://www.econbiz.de/10003229304

Seasonality in international portfolio diversification

Tang, Gordon Y. N. - In: Advances in Pacific Basin business, economics, and finance 2 (1996), pp. 43-51

Persistent link: https://www.econbiz.de/10001211256

Portfolio returns, markets volatility, and seasonality

Chen, Chao; Zhou, Zhong-guo - In: Review of quantitative finance and accounting 17 (2001) 1, pp. 27-43

Persistent link: https://www.econbiz.de/10001748130

Stock volatility and impact of news : the case of four Asia-Pacific markets

Tse, Yiu Kuen - In: Advances in international banking and finance 2 (1996), pp. 115-137

Persistent link: https://www.econbiz.de/10001208777

Asian stock markets, US economic policy uncertainty and US macro-shocks

Donadelli, Michael - In: New Zealand economic papers 49 (2015) 2, pp. 103-133

Persistent link: https://www.econbiz.de/10011405080

Mean and volatility spillover effects in the US and Pacific-Basin stock markets

Liu, Y. Angela; Pan, Ming-Shiun - In: Multinational finance journal : MF ; quarterly … 1 (1997) 1, pp. 47-62

Persistent link: https://www.econbiz.de/10001443878

Information leadership in the advanced Asia-Pacific stock markets : return, volatility and volume information spillovers from the US and Japan

Kim, Suk-Joong - In: Journal of the Japanese and international economies : … 19 (2005) 3, pp. 338-365

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Common stochastic volatility trends in international stock returns

Dao, Chi-Mai; Wolters, Jürgen - In: International review of financial analysis 17 (2008) 3, pp. 431-445

Persistent link: https://www.econbiz.de/10003764415

Mean and Volatility Spillover Effects in the U.S. and Pacific-Basin Stock Markets

Liu, Y. Angela - 2016

This paper investigates the mean return and volatility spillover effects from the U.S. and Japan to four Asian stock … cross-country stock investing hypothesis cannot by itself explain the international transmissions of return and volatility …

Persistent link: https://www.econbiz.de/10013004202

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