메뉴 건너뛰기




Volumn 22, Issue 1, 2007, Pages 89-119

Unravelling financial market linkages during crises

Author keywords

[No Author keywords available]

Indexed keywords


EID: 33947700826     PISSN: 08837252     EISSN: 10991255     Source Type: Journal    
DOI: 10.1002/jae.936     Document Type: Article
Times cited : (142)

References (70)
  • 2
    • 0012692686 scopus 로고    scopus 로고
    • An empirical investigation of continuous-time equity return models
    • Anderson TG, Benzoni L, Lund J. 2002. An empirical investigation of continuous-time equity return models. Journal of Finance 57: 1239-1284.
    • (2002) Journal of Finance , vol.57 , pp. 1239-1284
    • Anderson, T.G.1    Benzoni, L.2    Lund, J.3
  • 4
    • 0001764281 scopus 로고    scopus 로고
    • Financial market contagion in the Asian crisis
    • Baig T, Goldfajn I. 1999. Financial market contagion in the Asian crisis. IMF Staff Papers 46(2): 167-195.
    • (1999) IMF Staff Papers , vol.46 , Issue.2 , pp. 167-195
    • Baig, T.1    Goldfajn, I.2
  • 6
    • 84977718189 scopus 로고
    • Characterizing predictable components in excess returns on equity and foreign exchange markets
    • Bekaert G, Hodrick R. 1992. Characterizing predictable components in excess returns on equity and foreign exchange markets. Journal of Finance 47: 467-510.
    • (1992) Journal of Finance , vol.47 , pp. 467-510
    • Bekaert, G.1    Hodrick, R.2
  • 7
    • 0033176839 scopus 로고    scopus 로고
    • Predicting currency crises: The indicators approach and an alternative
    • Berg A, Pattillo C. 1999. Predicting currency crises: the indicators approach and an alternative. Journal of International Money and Finance 18: 561-586.
    • (1999) Journal of International Money and Finance , vol.18 , pp. 561-586
    • Berg, A.1    Pattillo, C.2
  • 8
    • 34848900983 scopus 로고
    • ARCH modeling in finance: A review of the theory and empirical evidence
    • Bollerslev T, Chou RY, Kroner KF. 1992. ARCH modeling in finance: a review of the theory and empirical evidence. Journal of Econometrics 52: 5-59.
    • (1992) Journal of Econometrics , vol.52 , pp. 5-59
    • Bollerslev, T.1    Chou, R.Y.2    Kroner, K.F.3
  • 10
    • 0034035847 scopus 로고    scopus 로고
    • Rational contagion and the globalization of securities markets
    • Calvo GA and Mendoza EG. 2000. Rational contagion and the globalization of securities markets, Journal of International Economics 51: 79-113.
    • (2000) Journal of International Economics , vol.51 , pp. 79-113
    • Calvo, G.A.1    Mendoza, E.G.2
  • 11
    • 0036184130 scopus 로고    scopus 로고
    • Contagion, monsoons and domestic turmoil in Indonesia's currency crisis
    • Cerra C, Saxena SW. 2002. Contagion, monsoons and domestic turmoil in Indonesia's currency crisis. Review of International Economics 10(1): 36-44.
    • (2002) Review of International Economics , vol.10 , Issue.1 , pp. 36-44
    • Cerra, C.1    Saxena, S.W.2
  • 12
    • 0008766361 scopus 로고    scopus 로고
    • Specification analysis of affine term structure
    • Dai Q, Singleton KJ. 2000. Specification analysis of affine term structure. Journal of Finance 55: 1943-1978.
    • (2000) Journal of Finance , vol.55 , pp. 1943-1978
    • Dai, Q.1    Singleton, K.J.2
  • 13
    • 33645320897 scopus 로고    scopus 로고
    • The response of financial markets in Australia and New Zealand to news about the Asian crisis
    • Dungey M, Tambakis D eds, Oxford University Press: Oxford;
    • Debelle E, Ellis L. 2005. The response of financial markets in Australia and New Zealand to news about the Asian crisis. In Identifying International Financial Contagion: Progress and Challenges, Dungey M, Tambakis D (eds). Oxford University Press: Oxford; 150-187.
    • (2005) Identifying International Financial Contagion: Progress and Challenges , pp. 150-187
    • Debelle, E.1    Ellis, L.2
  • 14
    • 84986408962 scopus 로고
    • The dynamics of exchange rate volatility: A multivariate latent-factor ARCH model
    • Diebold FX, Nerlove M. 1989. The dynamics of exchange rate volatility: a multivariate latent-factor ARCH model. Journal of Applied Econometrics 4: 1-22.
    • (1989) Journal of Applied Econometrics , vol.4 , pp. 1-22
    • Diebold, F.X.1    Nerlove, M.2
  • 16
    • 0000593389 scopus 로고
    • Simulated moments estimator of Markov models of asset prices
    • Duffie D, Singleton K. 1993. Simulated moments estimator of Markov models of asset prices. Econometrica 61: 929-952.
    • (1993) Econometrica , vol.61 , pp. 929-952
    • Duffie, D.1    Singleton, K.2
  • 17
    • 84993909002 scopus 로고
    • The world price of foreign exchange risk
    • Dumas B, Solnik B. 1995. The world price of foreign exchange risk. Journal of Finance 50(2): 445-479.
    • (1995) Journal of Finance , vol.50 , Issue.2 , pp. 445-479
    • Dumas, B.1    Solnik, B.2
  • 18
    • 0033482461 scopus 로고    scopus 로고
    • Decomposing exchange rate volatility around the Pacific Rim
    • Dungey M. 1999. Decomposing exchange rate volatility around the Pacific Rim. Journal of Asian Economics 10: 595-605.
    • (1999) Journal of Asian Economics , vol.10 , pp. 595-605
    • Dungey, M.1
  • 19
    • 85007700284 scopus 로고    scopus 로고
    • A multifactor model of exchange rates with unanticipated shocks: Measuring contagion in the East Asian currency crisis
    • Dungey M, Martin VL. 2004. A multifactor model of exchange rates with unanticipated shocks: measuring contagion in the East Asian currency crisis. Journal of Emerging Markets Finance 3(3): 305-330.
    • (2004) Journal of Emerging Markets Finance , vol.3 , Issue.3 , pp. 305-330
    • Dungey, M.1    Martin, V.L.2
  • 20
    • 0034551268 scopus 로고    scopus 로고
    • A multivariate latent factor decomposition of international bond yield spreads
    • Dungey M, Martin VL, Pagan AR. 2000. A multivariate latent factor decomposition of international bond yield spreads. Journal of Applied Econometrics 15: 697-715.
    • (2000) Journal of Applied Econometrics , vol.15 , pp. 697-715
    • Dungey, M.1    Martin, V.L.2    Pagan, A.R.3
  • 24
    • 0000424685 scopus 로고
    • Exchange market mayhem: The antecedents and aftermath of speculative attacks
    • Eichengreen B, Rose AK, Wyplosz C. 1995. Exchange market mayhem: the antecedents and aftermath of speculative attacks. Economic Policy 21: 249-312.
    • (1995) Economic Policy , vol.21 , pp. 249-312
    • Eichengreen, B.1    Rose, A.K.2    Wyplosz, C.3
  • 26
    • 4043149360 scopus 로고    scopus 로고
    • Risk and volatility: Econometric models and financial practice
    • Engle RF. 2004. Risk and volatility: econometric models and financial practice. American Economic Review 94: 405-420.
    • (2004) American Economic Review , vol.94 , pp. 405-420
    • Engle, R.F.1
  • 27
    • 0001659575 scopus 로고
    • Meteor showers or heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market
    • Engle RF, Ito T, Lin W. 1990. Meteor showers or heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market. Econometrica 58: 525-542.
    • (1990) Econometrica , vol.58 , pp. 525-542
    • Engle, R.F.1    Ito, T.2    Lin, W.3
  • 30
    • 0036268426 scopus 로고    scopus 로고
    • Is the international propagation of financial shocks non-linear? Evidence from the ERM
    • Favero CA, Giavazzi F. 2002. Is the international propagation of financial shocks non-linear? Evidence from the ERM, Journal of International Economics 57(1): 231-46.
    • (2002) Journal of International Economics , vol.57 , Issue.1 , pp. 231-246
    • Favero, C.A.1    Giavazzi, F.2
  • 31
    • 0001266564 scopus 로고    scopus 로고
    • Information and volatility linkages in the stock, bond and money markets
    • Flemming J, Kirby C, Ostdiek B. 1998. Information and volatility linkages in the stock, bond and money markets. Journal of Financial Economics 49: 111-137.
    • (1998) Journal of Financial Economics , vol.49 , pp. 111-137
    • Flemming, J.1    Kirby, C.2    Ostdiek, B.3
  • 32
    • 33947698620 scopus 로고    scopus 로고
    • Financial integration: A new methodology and an illustration
    • Flood RP, Rose AK. 2005. Financial integration: A new methodology and an illustration, Journal of the European Economic Association 3(6): 1349-1359.
    • (2005) Journal of the European Economic Association , vol.3 , Issue.6 , pp. 1349-1359
    • Flood, R.P.1    Rose, A.K.2
  • 33
    • 0003350474 scopus 로고    scopus 로고
    • No contagion, only interdependence: Measuring stock market co-movements
    • Forbes K, Rigobon R. 2002. No contagion, only interdependence: measuring stock market co-movements. Journal of Finance 57(5): 2223-2261.
    • (2002) Journal of Finance , vol.57 , Issue.5 , pp. 2223-2261
    • Forbes, K.1    Rigobon, R.2
  • 39
    • 0001329268 scopus 로고    scopus 로고
    • A bivariate causality between stock prices and exchange rates: Evidence from recent Asian flu
    • Granger CWJ, Huang B, Yang C. 2000. A bivariate causality between stock prices and exchange rates: evidence from recent Asian flu. Quarterly Review of Economics and Finance 40: 337-354.
    • (2000) Quarterly Review of Economics and Finance , vol.40 , pp. 337-354
    • Granger, C.W.J.1    Huang, B.2    Yang, C.3
  • 41
    • 0036592571 scopus 로고    scopus 로고
    • Indonesia's economic crisis: Contagion and fundamentals
    • Iriana R, Sjöholm F. 2002. Indonesia's economic crisis: contagion and fundamentals. Developing Economies 40(2): 135-151.
    • (2002) Developing Economies , vol.40 , Issue.2 , pp. 135-151
    • Iriana, R.1    Sjöholm, F.2
  • 42
    • 33947621394 scopus 로고    scopus 로고
    • High frequency contagion between exchange rates and stock prices in the Asian currency crisis
    • Dungey M, Tambakis D eds, Oxford University Press: Oxford;
    • Ito T, Hashimoto Y. 2005. High frequency contagion between exchange rates and stock prices in the Asian currency crisis. In Identifying International Financial Contagion: Progress and Challenges, Dungey M, Tambakis D (eds). Oxford University Press: Oxford; 111-149.
    • (2005) Identifying International Financial Contagion: Progress and Challenges , pp. 111-149
    • Ito, T.1    Hashimoto, Y.2
  • 47
    • 84934443059 scopus 로고
    • A multivariate GARCH model of international transmission of stock returns and volatility: The case of the United States and Canada
    • Karolyi GA. 1995. A multivariate GARCH model of international transmission of stock returns and volatility: the case of the United States and Canada. Journal of Business and Economic Statistics 13(1): 11-25.
    • (1995) Journal of Business and Economic Statistics , vol.13 , Issue.1 , pp. 11-25
    • Karolyi, G.A.1
  • 48
    • 0141503222 scopus 로고    scopus 로고
    • Does international financial contagion really exist?
    • Karolyi GA. 2003. Does international financial contagion really exist? International Finance 6(2): 179-199.
    • (2003) International Finance , vol.6 , Issue.2 , pp. 179-199
    • Karolyi, G.A.1
  • 49
    • 0033492819 scopus 로고    scopus 로고
    • Assessing vulnerability to financial crisis: Evidence from Indonesia
    • Kenward LR. 1999. Assessing vulnerability to financial crisis: Evidence from Indonesia, Bulletin of Indonesian Economic Studies 35(3): 71-95.
    • (1999) Bulletin of Indonesian Economic Studies , vol.35 , Issue.3 , pp. 71-95
    • Kenward, L.R.1
  • 50
    • 0003151378 scopus 로고
    • Transmission of volatility between stock markets
    • King M, Wadhwani S. 1990. Transmission of volatility between stock markets. Review of Financial Studies 3(1): 5-33.
    • (1990) Review of Financial Studies , vol.3 , Issue.1 , pp. 5-33
    • King, M.1    Wadhwani, S.2
  • 51
    • 84992529786 scopus 로고
    • Volatility and links between national stock markets
    • King M, Sentana E, Wadhwani S. 1994. Volatility and links between national stock markets. Econometrica 62: 901-933.
    • (1994) Econometrica , vol.62 , pp. 901-933
    • King, M.1    Sentana, E.2    Wadhwani, S.3
  • 52
    • 0013067956 scopus 로고    scopus 로고
    • A rational expectations model of financial contagion
    • Kodres L, Pritsker M. 2002. A rational expectations model of financial contagion. Journal of Finance 57(2): 769-799.
    • (2002) Journal of Finance , vol.57 , Issue.2 , pp. 769-799
    • Kodres, L.1    Pritsker, M.2
  • 53
    • 0000264314 scopus 로고
    • Do bulls and bears move across borders? International transmission of stock returns and volatility
    • Lin W, Engle RF, Ito T. 1994. Do bulls and bears move across borders? International transmission of stock returns and volatility. Review of Financial Studies 57: 507-538.
    • (1994) Review of Financial Studies , vol.57 , pp. 507-538
    • Lin, W.1    Engle, R.F.2    Ito, T.3
  • 54
    • 0002525307 scopus 로고
    • Is the correlation in international equity returns constant: 1960-1990?
    • Longin F, Solnik B. 1995. Is the correlation in international equity returns constant: 1960-1990? Journal of International Money and Finance 14: 3-26.
    • (1995) Journal of International Money and Finance , vol.14 , pp. 3-26
    • Longin, F.1    Solnik, B.2
  • 56
    • 38149146397 scopus 로고
    • Neglected common factors in exchange rate volatility
    • Mahieu R, Schotman P. 1994. Neglected common factors in exchange rate volatility. Journal of Empirical Finance 1: 279-311.
    • (1994) Journal of Empirical Finance , vol.1 , pp. 279-311
    • Mahieu, R.1    Schotman, P.2
  • 57
    • 0030641982 scopus 로고    scopus 로고
    • A multivariate GARCH model of risk premia in foreign exchange markets
    • Malliaroupulos D. 1997. A multivariate GARCH model of risk premia in foreign exchange markets. Economic Modelling 14: 61-79.
    • (1997) Economic Modelling , vol.14 , pp. 61-79
    • Malliaroupulos, D.1
  • 59
    • 0008978239 scopus 로고    scopus 로고
    • Contagion: Monsoonal effects, spillovers, and jumps between multiple equilibria
    • Agenor PR, Miller M, Vines D, Weber A eds, Cambridge University Press: Cambridge, UK;
    • Masson P. 1999. Contagion: monsoonal effects, spillovers, and jumps between multiple equilibria. In The Asian Financial Crisis: Causes, Contagion and Consequences, Agenor PR, Miller M, Vines D, Weber A (eds). Cambridge University Press: Cambridge, UK; 265-280.
    • (1999) The Asian Financial Crisis: Causes, Contagion and Consequences , pp. 265-280
    • Masson, P.1
  • 65
    • 84993877356 scopus 로고
    • Predictability of stock returns: Robustness and economic significance
    • Pesaran MH, Timmermann A. 1995. Predictability of stock returns: robustness and economic significance. Journal of Finance 50: 1201-1228.
    • (1995) Journal of Finance , vol.50 , pp. 1201-1228
    • Pesaran, M.H.1    Timmermann, A.2
  • 69
    • 0002610775 scopus 로고
    • The international pricing of risk: An empirical investigation of the world capital market structure
    • Solnik B. 1974. The international pricing of risk: an empirical investigation of the world capital market structure. Journal of Finance 29: 365-378.
    • (1974) Journal of Finance , vol.29 , pp. 365-378
    • Solnik, B.1
  • 70
    • 0348002876 scopus 로고    scopus 로고
    • Financial contagion and international portfolio flows
    • Van Royen A. 2002. Financial contagion and international portfolio flows. Financial Analysts Journal 58: 35-49.
    • (2002) Financial Analysts Journal , vol.58 , pp. 35-49
    • Van Royen, A.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.