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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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Transmission of information across international equity markets
Wongswan, Jon - 2003
Persistent link: https://www.econbiz.de/10001746156
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Long-term memory in stock market prices : international evidence
Sadique, Shibley; Silvapulle, Param - 1998
Persistent link: https://www.econbiz.de/10001378658
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Credit Buildups and the Stock Market in Four East Asian Economies
Rousseau, Peter L. - 2011
economies (Indonesia, Korea, Malaysia, and Thailand) using a series of comparative vector autoregressive and error correction …
Persistent link: https://www.econbiz.de/10013123499
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Predictability of Turn-of-the-Month Effect at Stock Markets in Malaysia, South Korea and Japan
Arsad, Zainudin bin - 2017
Financial market efficiency has been constantly challenged with new evidence of calendar anomalies in the stock market. This paper examines the existence and predictability of the turn-of-the-month effect at Kuala Lumpur Composite Index (KLCI), Seoul Composite Stock Price Index (KOSPI) and Tokyo...
Persistent link: https://www.econbiz.de/10012975826
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Fractal Structure of the Stock Markets of Leading Asian Countries
Gunay, Samet - 2016
In this study, we examined the fractal structure of the Nikkei225, HangSeng, Shanghai Stock Exchange and Straits Times Index of Singapore. Empirical analysis was performed via non-parametric, semi-parametric long memory tests and also fractal dimension calculations. In order to avoid spurious...
Persistent link: https://www.econbiz.de/10013005468
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Interdependence and Dynamic Linkages between Stock Markets of Sri Lanka and Its Trading Partners
Elyasiani, Elyas - 2016
the markets of its major trading partners (Taiwan, Singapore, Japan, South Korea, Hong Kong, India, and the US) using the …
Persistent link: https://www.econbiz.de/10013006314
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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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Do fundamentals, bubbles or neither determine stock prices? Some international evidence
Gerald P. Dwyer, Jr.; Hafer, R.W. - Federal Reserve Bank of St. Louis - 1989
Persistent link: https://www.econbiz.de/10005352795