Globalization and long-run co-movements in the stock market for the G7: An application of VECM under structural breaks
Author:
Publisher
Springer Science and Business Media LLC
Subject
Multidisciplinary
Link
http://link.springer.com/content/pdf/10.1007/s11434-011-4755-x.pdf
Reference35 articles.
1. Arshanapalli B, Doukas J. Common stochastic trends in a system of eurocurrency rates. J Bank Finan, 1994, 18: 1047–1061
2. Chung P J, Liu D J. Common stochastic trends in Pacific Rim stock markets. Quart Rev Econom Finan, 1994, 34: 241–259
3. Drożdż S, Grümmer F, Ruf F, et al. Towards identifying the world stock market cross-correlations: DAX versus Dow Jones. Physica A, 2001, 294: 226–234
4. Hamao Y, Masulis R W, Ng V. Correlations in price changes and volatility across international stock markets. Rev Finan Stud, 1990, 3: 281–307
5. Kasa K. Common stochastic trends in international stock markets. J Monet Econom, 1992, 29: 95–124
Cited by 6 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter?;Financial Innovation;2021-03-01
2. Dynamic behaviors and contributing factors of volatility spillovers across G7 stock markets;The North American Journal of Economics and Finance;2020-07
3. Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis;The North American Journal of Economics and Finance;2020-01
4. Frequency aspects of information transmission in a network of three western equity markets;Physica A: Statistical Mechanics and its Applications;2017-11
5. Recent Progress in Some Active Topics on Complex Networks;Journal of Physics: Conference Series;2015-04-17
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3