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Volumn 28, Issue 4, 2004, Pages 353-367

Volatility and contagion: Evidence from the Istanbul stock exchange

Author keywords

Contagion; GARCH; Stock returns; Volatility

Indexed keywords


EID: 17144431001     PISSN: 09393625     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ecosys.2004.08.003     Document Type: Article
Times cited : (25)

References (13)
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    • University of Maryland, Mimeo
    • Guillermo Calvo Contagion in Emerging Markets: When Wall Street is a Carrier 1999 University of Maryland, Mimeo
    • (1999)
    • Calvo, G.1
  • 5
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    • On the estimation of security price volatilities from historical data
    • M.B. Garman M.J. Klass On the estimation of security price volatilities from historical data J. Business 53 1980 67-78
    • (1980) J. Business , vol.53 , pp. 67-78
    • Garman, M.B.1    Klass, M.J.2
  • 6
    • 0037653678 scopus 로고    scopus 로고
    • Country risk and stock market volatility, predictability, and diversification in the Middle East and Africa
    • M. Kabir Hassan Neal C. Maroney Hassan Monir El-Sady Ahmad Telfah Country risk and stock market volatility, predictability, and diversification in the Middle East and Africa Econ. Syst. 27 2003 63-82
    • (2003) Econ. Syst. , vol.27 , pp. 63-82
    • Hassan, M.K.1    Maroney, N.C.2    El-Sady, H.M.3    Telfah, A.4
  • 7
    • 0345814286 scopus 로고    scopus 로고
    • The impact of financial liberalization on stock price volatility in emerging markets
    • Bwo-Nung Huang Chin-Wei Yang The impact of financial liberalization on stock price volatility in emerging markets J. Comp. Econ. 28 2000 321-339
    • (2000) J. Comp. Econ. , vol.28 , pp. 321-339
    • Huang, B.-N.1    Yang, C.-W.2
  • 8
    • 0031206570 scopus 로고    scopus 로고
    • Stock returns and volatility in emerging financial markets
    • Selahattin Imrohoroglu De Santis Giorgio Stock returns and volatility in emerging financial markets J. Int. Money Finance 16 1997 561-579
    • (1997) J. Int. Money Finance , vol.16 , pp. 561-579
    • Imrohoroglu, S.1    De Giorgio, S.2
  • 9
    • 0003151378 scopus 로고
    • Transmission of volatility between stock markets
    • Mervyn King Sushil Wadhwani Transmission of volatility between stock markets Rev. Financial Stud. 3 1990 5-33
    • (1990) Rev. Financial Stud. , vol.3 , pp. 5-33
    • King, M.1    Wadhwani, S.2
  • 10
    • 0002484781 scopus 로고
    • The extreme value method for estimating the variance of the rate of return
    • Micheal Parkinson The extreme value method for estimating the variance of the rate of return J. Business 53 1980 61-68
    • (1980) J. Business , vol.53 , pp. 61-68
    • Parkinson, M.1
  • 11
    • 0002025664 scopus 로고
    • Stock volatility and the crash of '87
    • William G. Schwert Stock volatility and the crash of '87 Rev. Financial Studies 3 1990 77-102
    • (1990) Rev. Financial Studies , vol.3 , pp. 77-102
    • Schwert, W.G.1
  • 12
    • 0006627672 scopus 로고    scopus 로고
    • International Asset Price and Capital Movements During Crisis: The Role of Contagion, Demonstration Effects and Fundamentals
    • Georgetown University, Mimeo
    • Holger Wolf International Asset Price and Capital Movements During Crisis: The Role of Contagion, Demonstration Effects and Fundamentals 1999 Georgetown University, Mimeo
    • (1999)
    • Wolf, H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.