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Herd behavior of the overall market : evidence based on the cross-sectional comovement of returns

Lee, Kyuseok - In: The North American journal of economics and finance : a … 42 (2017), pp. 266-284

Persistent link: https://www.econbiz.de/10011938117

Crude oil and agricultural futures : an analysis of correlation dynamics

Silvennoinen, Annastiina; Thorp, Susan - 2015

Persistent link: https://www.econbiz.de/10011777147

The comovement of investor attention

Drake, Michael S.; Jennings, Jared; Roulstone, Darren T.; … - In: Management science : journal of the Institute for … 63 (2017) 9, pp. 2847-2867

Persistent link: https://www.econbiz.de/10011748800

Modelling conditional correlations of asset returns: A smooth transition approach

Silvennoinen, Annastiina; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2012

In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The time-varying conditional correlations change smoothly between two extreme states of constant correlations according to a predetermined or exogenous transition variable. An LM-test is...

Persistent link: https://www.econbiz.de/10009652369

Product market competition and stock return dependence

Asgharian, Hossein; Liu, Lu - In: Finance research letters 50 (2022), pp. 1-6

Persistent link: https://www.econbiz.de/10014233977

What are the benefits of attracting gambling investors? : evidence from stock splits in China

Hu, Conghui; Lin, Ji-chai; Liu, Yu-jane - In: The journal of corporate finance : contracting, … 74 (2022), pp. 1-20

Persistent link: https://www.econbiz.de/10013366497

Mutual fund herding and return comovement in Chinese equities

Caglayan, Mustafa O.; Hu, Yu; Xue, Wenjun - In: Pacific-Basin finance journal 68 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10013332461

Peer effect on dividends and return comovement

Seo, Sung Won; Lee, Jong Hwa - In: The North American journal of economics and finance : a … 67 (2023), pp. 1-12

Persistent link: https://www.econbiz.de/10014484060

High-speed rail and stock return comovement in China

Zheng, Zunxin; Qiu, Zhongjie; Li, Mengjia; Ding, Wenjie - In: Research in international business and finance 67 (2024) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10014451499

The annual report tone and return Comovement : evidence from China's stock market

Liu, Chao; Wang, FeiFei; Xue, Wenjun - In: International review of financial analysis 88 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014460650