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Market linkage and information spillover : evidence from pre-crisis, crisis, and recovery periods

Ding, Liang; Pu, Xiaoling - In: Journal of economics & business 64 (2012) 2, pp. 145-159

Persistent link: https://www.econbiz.de/10009551800

Volatility linkage across global equity markets

Ding, Liang; Huang, Yirong; Pu, Xiaoling - In: Global finance journal 25 (2014) 2, pp. 71-89

Persistent link: https://www.econbiz.de/10010400986

Market linkage and information spillover: Evidence from pre-crisis, crisis, and recovery periods

Ding, Liang; Pu, Xiaoling - In: Journal of economics and business 64 (2012) 2, pp. 145-160

Persistent link: https://www.econbiz.de/10009960209

Volatility linkage across global equity markets

Ding, Liang; Huang, Yirong; Pu, Xiaoling - In: Global Finance Journal 25 (2014) 2, pp. 71-89

This paper analyzes the volatility linkage across the U.S., European, German, Japanese, and Swiss equity markets from 1999 to 2009. Both the unconditional and conditional correlations exhibit large fluctuations during the sample period. The results from the VAR analysis show an asymmetric...

Persistent link: https://www.econbiz.de/10011120380