Spillover effects of the US stock market and the predictability of returns: international evidence based on daily data
Author:
Affiliation:
1. Department of Accounting Information, National Taichung University of Science and Technology, Taichung, Taiwan
2. Department of Accounting, Finance and Economics, Griffith University, Griffith Business School, Nathan, Queensland, Australia
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/00036846.2022.2138818
Reference59 articles.
1. Volatility spillover and multivariate volatility impulse response analysis of GFC news events
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4. International stock market linkages: Evidence from the pre- and post-October 1987 period
5. Dynamic return and volatility spillovers among S&P 500, crude oil, and gold
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