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Applied Economics Letters
Volumn 11, Issue 3, 2004, Pages 197-201
International transmission of stock market movements: A wavelet analysis
Author keywords

[No Author keywords available]
Indexed keywords

ECONOMETRICS; MODELING; STOCK MARKET; WAVELET ANALYSIS;
EID: 33746354285     PISSN: 13504851     EISSN: 14664291     Source Type: Journal    
DOI: 10.1080/1350485042000203850     Document Type: Article
Times cited : (94)
References (12)
  • 1
    • 0031161635 scopus 로고    scopus 로고
    • Price and volatility spillovers in Scandinavian stock markets
    • Booth G. G., Martikainen T., Tse Y. Price and volatility spillovers in Scandinavian stock markets Journal of Banking & Finance 1997; 21: 811-23
    • (1997) Journal of Banking & Finance , vol.21 , pp. 811-823
    • Booth, G.G.1    Martikainen, T.2    Tse, Y.3
  • 6
    • 0001698432 scopus 로고
    • Correlations in price changes and volatility across international stock markets
    • Hamao Y., Masulis R. W., Ng V. Correlations in price changes and volatility across international stock markets Review of Financial Studies 1990; 3: 281-307
    • (1990) Review of Financial Studies , vol.3 , pp. 281-307
    • Hamao, Y.1    Masulis, R.W.2    Ng, V.3
  • 7
    • 84934443059 scopus 로고
    • A multivariate GARCH model of international transmissions of stock returns and volatility: The case of the U.S. and Canada
    • Karolyi G. A. A multivariate GARCH model of international transmissions of stock returns and volatility: The case of the U.S. and Canada Journal of Business & Economic Statistics 1995; 13: 11-25
    • (1995) Journal of Business & Economic Statistics , vol.13 , pp. 11-25
    • Karolyi, G.A.1
  • 8
    • 0000208990 scopus 로고
    • International stock price spillovers and market liberalization: Evidence from Korea, Japan and the United States
    • Kim S. W., Rogers J. H. International stock price spillovers and market liberalization: Evidence from Korea, Japan and the United States Journal of Empirical Finance 1995; 2: 117-33
    • (1995) Journal of Empirical Finance , vol.2 , pp. 117-133
    • Kim, S.W.1    Rogers, J.H.2
  • 10
    • 0000264314 scopus 로고
    • Do bulls and bears move across borders? International transmission of stock prices and volatility
    • Lin W., Engle R. F., Ito T. Do bulls and bears move across borders? International transmission of stock prices and volatility Review of Financial Studies 1994; 7: 507-38
    • (1994) Review of Financial Studies , vol.7 , pp. 507-538
    • Lin, W.1    Engle, R.F.2    Ito, T.3
  • 11
    • 0034165316 scopus 로고    scopus 로고
    • Volatility spillover effects from Japan and the U.S. to the Pacific Basin
    • Ng A. Volatility spillover effects from Japan and the U.S. to the Pacific Basin Journal of International Money and Finance 2000; 19: 207-33
    • (2000) Journal of International Money and Finance , vol.19 , pp. 207-233
    • Ng, A.1
  • 12
    • 0000697034 scopus 로고
    • An examination of the behavior of international stock market volatility
    • (Eds) S. G. Rhee and R. P. Chang
    • Ng V., Chang R. P., Chow R. An examination of the behavior of international stock market volatility Pacific-basic Capital Markets Research 1991; pp. 245-60 (Eds) S. G. Rhee and R. P. Chang
    • (1991) Pacific-basic Capital Markets Research , pp. 245-260
    • Ng, V.1    Chang, R.P.2    Chow, R.3

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.