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Firm-Level Evidenceon International Stock Market Comovement

Brooks, Robin - 2003

We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country-specific and industry-specific...

Persistent link: https://www.econbiz.de/10014403861

Predictability of stock market returns : new evidence from developed and developing countries

Li, Xiyang; Cheng, Xiaoyue; Li, Bin; Singh, Tarlok; Shi, Kan - In: Global finance journal 54 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013470087

Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash

Pesaran, Bahram - 2013

version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …

Persistent link: https://www.econbiz.de/10013094817

Cross-country stock market comovement : a macro perspective

Anagnostopoulos, Alexios; Atesagaoglu, Orhan Erem; … - 2021

Persistent link: https://www.econbiz.de/10012499737

Asymmetry in Stock Comovements : An Entropy Approach

Jiang, Lei - 2020

return. This approach yields a model-free test for stock return asymmetry, generalizing the correlation-based test proposed …

Persistent link: https://www.econbiz.de/10012856552

Asymmetry in stock comovements : an entropy approach

Jiang, Lei; Wu, Ke; Zhou, Guofu - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 4, pp. 1479-1507

Persistent link: https://www.econbiz.de/10011930502

Global imbalances and asymmetric returns to US foreign assets : fitting the missing pieces of the US balance of payments puzzle

Ali, Mona - In: International review of applied economics 30 (2016) 2, pp. 167-187

Persistent link: https://www.econbiz.de/10011472455

Financial contagion, vulnerability and information : empirical identification

Weber, Enzo - 2009

Persistent link: https://www.econbiz.de/10003908053

Oil-price uncertainty and international stock returns : dissecting quantile-based predictability and spillover effects using more than a century of data

Balcilar, Mehmet; Gupta, Rangan; Pierdzioch, Christian - 2022

Persistent link: https://www.econbiz.de/10013166706

International sentiment spillovers in equity returns

Bathia, Deven; Bredin, Donal; Nitzsche, Dirk - In: International journal of finance & economics : IJFE 21 (2016) 4, pp. 332-359

Persistent link: https://www.econbiz.de/10011698788

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