1. Barberis, N., Shleifer, A. and Wurgler, J. (2005), “Co‐movement”, Journal of Financial Economics, Vol. 75, pp. 283‐317.
2. Bekaert, G., Harvey, C. and Ng, A. (2005), “Market integration and contagion”, The Journal of Business, Vol. 78 No. 1, pp. 39‐69.
3. Bessler, W. and Nohel, T. (2000), “Asymmetric information, dividend reductions, and contagion effects in bank stock returns”, Journal of Banking & Finance, Vol. 24 No. 11, pp. 1831‐48.
4. Bollerslev, T. and Wooldridge, J.M. (1992), “Quasi‐maximum likelihood estimation and inference in dynamic models with time‐varying covariances”, Econometric Reviews, Vol. 1, pp. 143‐73.
5. Bond, S.A., Dungey, M. and Fry, R. (2006), “A web of shocks: crises across Asian real estate markets”, Journal of Real Estate Financial Economics, Vol. 32, pp. 253‐74.