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Measuring financial interdependence in asset markets with an application to eurozone equities

Fry-McKibbin, Renée; Hsiao, Cody Yu-Ling; Martin, Vance - In: Journal of banking & finance 122 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012659252

Capital Market Liberalization and Equity Market Interdependence

Fry-McKibbin, Renee - 2020

This paper uses tests drawn from the literature on financial market contagion measured by changes in higher-order comoments to establish the patterns in the interdependence between equity markets in Shanghai and Shenzhen with Hong Kong as mainland China liberalized their capital market. On the...

Persistent link: https://www.econbiz.de/10012832821

Time-varying dependence in European equity markets : a contagion and investor sentiment driven analysis

Niţoi, Mihai; Pochea, Maria Miruna - In: Economic modelling 86 (2020), pp. 133-147

Persistent link: https://www.econbiz.de/10012415531

Dynamic analysis of time-varying correlations and cointegration relationship between Australia and frontier equity markets

Paramati, Sudharshan Reddy; Gupta, Rakesh; Tandon, Kishore - In: International journal of business and emerging markets … 8 (2016) 2, pp. 121-145

Persistent link: https://www.econbiz.de/10011615352

Testing causal relation among central and eastern European equity markets : evidence from asymmetric causality test

Cevik, Emrah Ismail; Korkmaz, Turhan; Cevikcan, Emre - In: Economic research 30 (2017) 1,1, pp. 381-393

Persistent link: https://www.econbiz.de/10012223847

Efficiency of capital markets : a new perspective on the value premium and day-of-the-week effect

Procasky, William J.; Raja, Zubair Ali; Oyotode, Renée - In: International journal of portfolio analysis and … 2 (2018) 2, pp. 114-140

Persistent link: https://www.econbiz.de/10012253640

Risk neglect in equity markets

Baker, Malcolm - In: The journal of portfolio management : a publication of … 42 (2016) 3, pp. 12-25

Persistent link: https://www.econbiz.de/10011685803

Financial market interdependencies : a quantile regression analysis of volatility spillover

Rejeb, Aymen Ben; Arfaoui, Mongi - In: Research in international business and finance 36 (2016), pp. 140-157

Persistent link: https://www.econbiz.de/10011594319

Market integration and financial linkages among stock markets in Pacific Basin countries

Chevallier, Julien; Nguyen, Duc Khuong; Siverskog, Jonathan - In: Journal of empirical finance 46 (2018), pp. 77-92

Persistent link: https://www.econbiz.de/10012103436

Do macro shocks matter for equities?

Dison, Will; Theodoridis, Konstantinos - 2017

Persistent link: https://www.econbiz.de/10011912881

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