Nothing Special   »   [go: up one dir, main page]
create a website
Empirical relationship between macroeconomic volatility and stock returns: Evidence from Latin American markets. (2008). Abugri, Benjamin A..
In: International Review of Financial Analysis.
RePEc:eee:finana:v:17:y:2008:i:2:p:396-410.

Full description at Econpapers || Download paper

Cited: 62

Citations received by this document

Cites: 34

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Macroeconomic Response to BRICS Countries Stock Markets Using Panel VAR. (2023). Panda, Pradiptarathi.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:30:y:2023:i:1:d:10.1007_s10690-023-09399-7.

    Full description at Econpapers || Download paper

  2. Determinants of stock market returns in emerging markets: The linkage between institutional quality and macro liquidity. (2022). Su, Thanh ; Nguyen, Canh ; Schinckus, Christophe.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:27:y:2022:i:4:p:4472-4486.

    Full description at Econpapers || Download paper

  3. Empirical Relationship Between Macroeconomic Variables and Stock Market: Evidence from India. (2022). Mishra, Nandita ; Khera, Aastha ; Yadav, Miklesh Prasad.
    In: Management and Labour Studies.
    RePEc:sae:manlab:v:47:y:2022:i:1:p:119-129.

    Full description at Econpapers || Download paper

  4. Exchange Rate and Stock Price Nexus: Evidence from Ghana. (2022). Arhenful, Peter ; Fosu, Richard ; Owusu-Mensah, Mathew.
    In: Journal of Social and Development Sciences.
    RePEc:rnd:arjsds:v:12:y:2022:i:4:p:9-15.

    Full description at Econpapers || Download paper

  5. COVID-19 and policy responses: Early evidence in banks and FinTech stocks. (2022). Bianchi, Robert J ; Kakhkharov, Jakhongir.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:74:y:2022:i:c:s0927538x2200110x.

    Full description at Econpapers || Download paper

  6. Constructing a positive sentiment index for COVID-19: Evidence from G20 stock markets. (2022). Drakos, Konstantinos ; Ballis, Antonis ; Anastasiou, Dimitris.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000795.

    Full description at Econpapers || Download paper

  7. Causality between Green Stock Market with Monetary Policy, Global Uncertainty, and Environmental Damage in Indonesia. (2022). Suriani, Suriani ; Aliasuddin, Aliasuddin ; Abd, Shabri M ; Sakuntala, Dwita.
    In: International Journal of Energy Economics and Policy.
    RePEc:eco:journ2:2022-06-28.

    Full description at Econpapers || Download paper

  8. Determinants of stock market development and price volatility in ASEAN plus three countries: The role of institutional quality. (2021). Paramati, Sudharshan Reddy ; Shi, Yongming ; Ahmed, Khalid.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:26:y:2021:i:1:p:560-572.

    Full description at Econpapers || Download paper

  9. Effect of Interest Rate on Stock Prices in Ghana. (2021). Adjei, Kofi Sarfo ; Yeboah, Augustine Kwadwo ; Arhenful, Peter.
    In: Journal of Social and Development Sciences.
    RePEc:rnd:arjsds:v:12:y:2021:i:1:p:1-7.

    Full description at Econpapers || Download paper

  10. Dance with the devil? The nexus of fourth industrial revolution, technological financial products and volatility spillovers in global financial system. (2021). Naqvi, Bushra ; Abbas, Syed Kumail ; Umar, Muhammad.
    In: Technological Forecasting and Social Change.
    RePEc:eee:tefoso:v:163:y:2021:i:c:s0040162520312762.

    Full description at Econpapers || Download paper

  11. Oil price volatility and the logistics industry: Dynamic connectedness with portfolio implications. (2021). Kang, Sanghoon ; Dash, Saumya Ranjan ; Ur, Mobeen ; Maitra, Debasish.
    In: Energy Economics.
    RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003844.

    Full description at Econpapers || Download paper

  12. Economic Forces and the Stock Market Performance in Developing Countries: Evidence From Sudan. (2020). Elrahman, Elzibeer Fath ; Abbas, Nawal Hussein.
    In: International Journal of Financial Research.
    RePEc:jfr:ijfr11:v:11:y:2020:i:4:p:130-143.

    Full description at Econpapers || Download paper

  13. Macroeconomic Variables and Stock Returns in Bangladesh: An Empirical Analysis in The Presence of Structural Breaks. (2020). Alam, Md Nahid ; Akter, Yeasmin.
    In: Journal of Economic Development.
    RePEc:jed:journl:v:45:y:2020:i:2:p:115-141.

    Full description at Econpapers || Download paper

  14. Stock market reactions to domestic sentiment: Panel CS-ARDL evidence. (2020). , Walid.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919303873.

    Full description at Econpapers || Download paper

  15. The impact of Baidu Index sentiment on the volatility of Chinas stock markets. (2020). Gözgör, Giray ; Lu, Zhou ; Lau, Chi-Keung Marco ; Fang, Jianchun.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318305609.

    Full description at Econpapers || Download paper

  16. Bond market integration of emerging economies and bilateral linkages. (2020). Balli, Faruk ; Rana, Faisal ; Hu, Xuan.
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:60:y:2020:i:3:p:2039-2062.

    Full description at Econpapers || Download paper

  17. Do Stock Markets Lead or Lag Macroeconomic Variables? Evidence from Select European Countries. (2019). Camilleri, Silvio ; Ye, Bai ; Nicolanne, Scicluna.
    In: MPRA Paper.
    RePEc:pra:mprapa:95299.

    Full description at Econpapers || Download paper

  18. Do stock markets lead or lag macroeconomic variables? Evidence from select European countries. (2019). Camilleri, Silvio ; Bai, YE ; Scicluna, Nicolanne.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:48:y:2019:i:c:p:170-186.

    Full description at Econpapers || Download paper

  19. Do Domestic Sentiment and the Spillover of US Investor Sentiment Impact Mexican Stock Market Returns?. (2018). .
    In: Journal of Emerging Market Finance.
    RePEc:sae:emffin:v:17:y:2018:i:2_suppl:p:s185-s212.

    Full description at Econpapers || Download paper

  20. Dynamic Relationship between Macroeconomic Variables and Stock Return Volatility in Tehran Stock Exchange: Multivariate MS ARMA GARCH Approach. (2018). Berenjabadi, Nayyer Hashemi ; Refah-Kahriz, Arash ; Heidari, Hassan.
    In: Quarterly Journal of Applied Theories of Economics.
    RePEc:ris:qjatoe:0113.

    Full description at Econpapers || Download paper

  21. What drives the stock markets ? evidence from India. (2018). Masih, Abul ; Fadzil, Anas.
    In: MPRA Paper.
    RePEc:pra:mprapa:109248.

    Full description at Econpapers || Download paper

  22. Macroeconomic determinants of stock markets: Indian case. (2018). Masih, Abul ; Haq, Marifatul.
    In: MPRA Paper.
    RePEc:pra:mprapa:108900.

    Full description at Econpapers || Download paper

  23. International stock market contagion: A CEEMDAN wavelet analysis. (2018). Zhou, Zhongbao ; Li, Shuxian ; Lin, Ling.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:72:y:2018:i:c:p:333-352.

    Full description at Econpapers || Download paper

  24. Return and Volatility Spillovers Effects: Study of Asian Emerging Stock Markets. (2018). Ghulam, Abbas ; Shouyang, Wang ; Bhowmik, Roni.
    In: Journal of Systems Science and Information.
    RePEc:bpj:jossai:v:6:y:2018:i:2:p:97-119:n:1.

    Full description at Econpapers || Download paper

  25. China’s Macroeconomic Fundamentals on Stock Market Volatility: Evidence from Shanghai and Hong Kong. (2017). Wing, Andy Wui ; Han, Iris Wing.
    In: Review of Pacific Basin Financial Markets and Policies (RPBFMP).
    RePEc:wsi:rpbfmp:v:20:y:2017:i:02:n:s021909151750014x.

    Full description at Econpapers || Download paper

  26. Modelling the volatility of commodities prices using a stochastic volatility model with random level shifts. (2017). Rodríguez, Gabriel ; Alvaro, Dennis ; Guillen, Angel .
    In: Review of World Economics (Weltwirtschaftliches Archiv).
    RePEc:spr:weltar:v:153:y:2017:i:1:d:10.1007_s10290-016-0271-z.

    Full description at Econpapers || Download paper

  27. Comparison of the Predictive Ability of Single and Multi-Regime Models of Stock Market Dynamics. (2017). Zyamalov, Vadim ; Ye, Vadim.
    In: Finansovyj žhurnal — Financial Journal.
    RePEc:fru:finjrn:170206:p:64-75.

    Full description at Econpapers || Download paper

  28. Interest rate dynamic effect on stock returns and central bank transparency: Evidence from emerging markets. (2017). Spyromitros, Eleftherios ; Sidiropoulos, Moise ; Papadamou, Stephanos.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:39:y:2017:i:pb:p:951-962.

    Full description at Econpapers || Download paper

  29. Stock returns and interest rates around the World: A panel data approach. (2017). Mollick, Andre ; Assefa, Tibebe A ; Esqueda, Omar A.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:89:y:2017:i:c:p:20-35.

    Full description at Econpapers || Download paper

  30. Shanghai-Hong Kong Stock Connect: An analysis of Chinese partial stock market liberalization impact on the local and foreign markets. (2017). Pang, Darien Yan ; Bai, YE.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:50:y:2017:i:c:p:182-203.

    Full description at Econpapers || Download paper

  31. Exploring the nexus between Stock prices and Macroeconomic shocks: Panel VAR approach. (2017). el Abed, Riadh.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-16-00712.

    Full description at Econpapers || Download paper

  32. Macroeconomic Variables, Leverage, Stock Returns and Stock Return Volatility. (2017). Marozva, Godfrey ; Magwedere, Margaret Rutendo.
    In: Acta Universitatis Danubius. OEconomica.
    RePEc:dug:actaec:y:2017:i:4:p:264-288.

    Full description at Econpapers || Download paper

  33. THE IMPACT OF MACROECONOMIC INDICATORS ON INDIAN STOCK PRICES: AN EMPIRICAL ANALYSIS. (2017). , Giri ; Pooja, Joshi .
    In: Studies in Business and Economics.
    RePEc:blg:journl:v:12:y:2017:i:1:p:61-78.

    Full description at Econpapers || Download paper

  34. SYSTEMATIC RISK FACTORS AND STOCK RETURN VOLATILITY. (2017). Ali, Syed Kamran ; Ahmed, Ishtiaq ; Hashmi, Shujahat Haider.
    In: APSTRACT: Applied Studies in Agribusiness and Commerce.
    RePEc:ags:apstra:265587.

    Full description at Econpapers || Download paper

  35. Do global risk factors and macroeconomic conditions affect global Islamic index dynamics? A quantile regression approach. (2016). Naifar, Nader.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:61:y:2016:i:c:p:29-39.

    Full description at Econpapers || Download paper

  36. Financial development and economic growth in MENA countries. (2016). Mroua, Mourad ; Abid, Fathi ; Bahloul, Slah .
    In: Journal of Policy Modeling.
    RePEc:eee:jpolmo:v:38:y:2016:i:6:p:1099-1117.

    Full description at Econpapers || Download paper

  37. The relationships among the returns of investment instruments: a vector autoregressive approach for Turkey. (2016). Iltas, Yuksel ; Bulut, Umit.
    In: Theoretical and Applied Economics.
    RePEc:agr:journl:v:xxiii:y:2016:i:4(609):p:273-280.

    Full description at Econpapers || Download paper

  38. The relationships among the returns of investment instruments: a vector autoregressive approach for Turkey. (2016). Bulut, Umit ; Iltas, Yuksel .
    In: Theoretical and Applied Economics.
    RePEc:agr:journl:v:4(609):y:2016:i:4(609):p:273-280.

    Full description at Econpapers || Download paper

  39. Causal relationship between stock returns and real economic growth in the pre- and post-crisis period: evidence from China. (2015). Guo, Jin.
    In: Applied Economics.
    RePEc:taf:applec:v:47:y:2015:i:1:p:12-31.

    Full description at Econpapers || Download paper

  40. CENTRAL AND EASTERN EUROPEAN STOCK MARKETS IN TIMES OF CRISIS (International Conference Recent Advances in Economic and Social Research, 13-14 mai 2015, București). (2015). Diaconasu, Delia ; Diaconaşu, Delia ; Diaconau, Delia-Elena.
    In: Institute for Economic Forecasting Conference Proceedings.
    RePEc:rjr:wpconf:151205.

    Full description at Econpapers || Download paper

  41. The Review of Stock Returns and Macroeconomic Variables. (2015). Ahmad, Ali Umar ; Abdullahi, Ahmad Tijjani ; Sulong, Zunaidah.
    In: International Journal of Academic Research in Business and Social Sciences.
    RePEc:hur:ijarbs:v:5:y:2015:i:5:p:154-181.

    Full description at Econpapers || Download paper

  42. Automatic model selection for forecasting Brazilian stock returns. (2015). Valls Pereira, Pedro ; Cunha, Ronan .
    In: Textos para discussão.
    RePEc:fgv:eesptd:398.

    Full description at Econpapers || Download paper

  43. The transmission of market shocks and bilateral linkages: Evidence from emerging economies. (2015). Balli, Hatice ; Vo, Tuan Kiet ; Louis, Rosmy Jean.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:42:y:2015:i:c:p:349-357.

    Full description at Econpapers || Download paper

  44. Dynamic Relations between Macroeconomic Variables and Indian Stock Price: An Application of ARDL Bounds Testing Approach. (2015). Joshi, Pooja ; Giri, A K.
    In: Asian Economic and Financial Review.
    RePEc:asi:aeafrj:2015:p:1119-1133.

    Full description at Econpapers || Download paper

  45. A MIXED FREQUENCY ANALYSIS OF CONNECTIONS BETWEEN MACROECONOMIC VARIABLES AND STOCK MARKETS IN CENTRAL AND EASTERN EUROPE. (2014). Lupu, Radu ; Calin, Adrian Cantemir.
    In: Studii Financiare (Financial Studies).
    RePEc:vls:finstu:v:18:y:2014:i:2:p:69-79.

    Full description at Econpapers || Download paper

  46. Inflation And The Subsequent Timing Of The Chinese Stock Market. (2014). O'Brien, Fergal ; Ryan, James ; Hong, Hui.
    In: Asian Academy of Management Journal of Accounting and Finance (AAMJAF).
    RePEc:usm:journl:aamjaf01002_13-35.

    Full description at Econpapers || Download paper

  47. The Impact of Macroeconomic Variables on Stock Prices in Pakistan. (2014). Hunjra, Ahmed ; Chani, Muhammad ; Khan, Kamran ; Ijaz, Muhammad Shahzad ; Farooq, Muhammad.
    In: MPRA Paper.
    RePEc:pra:mprapa:60791.

    Full description at Econpapers || Download paper

  48. EXTERNAL VULNERABILITIES AND ECONOMIC INTEGRATION: IS THE UNION OF SOUTH AMERICAN NATIONS A PROMISING PROJECT?. (2014). Bonilla Bolaños, Andrea Gabriela ; Bolanos, Andrea Bonilla .
    In: Journal of Economic Development.
    RePEc:jed:journl:v:39:y:2014:i:2:p:97-131.

    Full description at Econpapers || Download paper

  49. The macroeconomic variables are crucial for any change in economy for a country.. (2014). Hunjra, Ahmed ; Chani, Muhammad ; Shahzad, Muhammad ; Farooq, Muhammad ; Khan, Kamran.
    In: International Journal of Economics and Empirical Research (IJEER).
    RePEc:ijr:journl:v:2:y:2014:i:1:p:13-21.

    Full description at Econpapers || Download paper

  50. External vulnerabilities and economic integration. Is the Union of South American Nations a promising project ?. (2014). Bonilla, Andrea .
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00945044.

    Full description at Econpapers || Download paper

  51. Co-integration and causality analysis between stock market prices and their determinates in Jordan. (2013). Matar, Ali ; Bekhet, Hussainali .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:35:y:2013:i:c:p:508-514.

    Full description at Econpapers || Download paper

  52. The impact of Macroeconomic Fundamentals on Stock Prices revisited: An Evidence from Indian Data. (2012). Naik, Pramod ; Kumar, Naik Pramod ; Puja, Padhi .
    In: MPRA Paper.
    RePEc:pra:mprapa:38980.

    Full description at Econpapers || Download paper

  53. External vulnerabilities and economic integration. Is the Union of South American Nations a promising project?. (2012). Bonilla Bolaños, Andrea Gabriela ; Bolanos, Andrea Bonilla .
    In: Working Papers.
    RePEc:gat:wpaper:1238.

    Full description at Econpapers || Download paper

  54. Financial globalization and stock market risk. (2012). Mollick, Andre ; ESQUEDA, OMAR ; Assefa, Tibebe A..
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:22:y:2012:i:1:p:87-102.

    Full description at Econpapers || Download paper

  55. Linking the interest rate swap markets to the macroeconomic risk: The UK and us evidence. (2012). Hung, Chi-Hsiou ; Azad, A.S.M. ; Azad, A. S. M. Sohel, ; Fang, Victor.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:22:y:2012:i:c:p:38-47.

    Full description at Econpapers || Download paper

  56. IMPACT OF FINANCIAL CRISIS ON STOCK RETURNS: EVIDENCE FROM SINGAPORE. (2012). Alam, Nafis ; Nafis, ALAM ; Chain, TAN Ee .
    In: Studies in Business and Economics.
    RePEc:blg:journl:v:7:y:2012:i:2:p:5-19.

    Full description at Econpapers || Download paper

  57. Effect of Macroeconomic Variables on the Ghanaian Stock Market Returns: A Co-integration Analysis. (2012). John , .
    In: AGRIS on-line Papers in Economics and Informatics.
    RePEc:ags:aolpei:131359.

    Full description at Econpapers || Download paper

  58. The Role of Macroeconomic Variables on Stock Market Index in China and India. (2011). Lai, Yew Wah ; Ahmad, Zamri ; Hosseini, Seyed Mehdi.
    In: MPRA Paper.
    RePEc:pra:mprapa:112215.

    Full description at Econpapers || Download paper

  59. Macroeconomic uncertainty and conditional stock-price volatility in frontier African markets: Evidence from Ghana. (2009). Adjasi, Charles ; Charles K. D. Adjasi, .
    In: Journal of Risk Finance.
    RePEc:eme:jrfpps:v:10:y:2009:i:4:p:333-349.

    Full description at Econpapers || Download paper

  60. Competition between Latin America and China for US direct investment.. (2008). Ruiz-Porras, Antonio ; Boncheva, Antonina Ivanova ; De la Cruz Gallegos, Jose Luis, .
    In: MPRA Paper.
    RePEc:pra:mprapa:8950.

    Full description at Econpapers || Download paper

  61. Competition between Latin America and China for US Direct Investment. (2008). Ruiz-Porras, Antonio ; Boncheva, Antonina Ivanova ; Jose Luis De la Cruz Gallegos, .
    In: Global Economy Journal.
    RePEc:bpj:glecon:v:8:y:2008:i:2:n:1.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Aggarwal, R. ; Carla, I. ; Ricardo, L. Volatility in emerging stock markets. 1999 Journal of Financial and Quantitative Analysis. 34 33-55

  2. Aitken, B. Have institutional investors destabilized emerging markets?. 1996 International Monetary Fund: Washington DC

  3. Asprem, M. Stock prices, asset portfolios and macroeconomic variables in tent European countries. 1989 Journal of Banking and Finance. 13 589-612

  4. Bekaert, G. ; Harvey, C.R. Emerging equity market volatility. 1997 Journal of Financial Economics. 43 29-77

  5. Bekaert, G. ; Harvey, C.R. ; Lumsdaine, R.L. The dynamics of emerging market equity flows. 2002 Journal of International Money and Finance. 21 295-350

  6. Bilson, C.M. ; Brailsford, T.J. ; Hooper, V.J. Selecting macroeconomic variables as explanatory factors of emerging stock market returns. 2001 Pacific-Basin Finance Journal. 9 401-426

  7. Boudoukh, J. ; Richardson, M. Stock returns and inflation: A long-horizon perspective. 1993 American Economic Review. 83 1346-1355

  8. Caballero, R.J. Macroeconomic volatility in Latin America: A conceptual framework and three case studies. 2000 Estudios de Economia. 28 5-52

  9. Chen, N.F. ; Roll, R. ; Ross, S.A. Economic factors and stock market. 1986 Journal of Business. 59 383-404
    Paper not yet in RePEc: Add citation now

  10. Cheung, Y. ; He, J. ; Ng, K.L. What are the global sources of rational variation in international equity returns?. 1997 Journal of International Money and Finance. 16 821-836

  11. Choi, J.J. ; Elyasiani, E. ; Kopecky, K.J. The sensitivity of bank stock returns to market, interest and exchange rate risk. 1992 Journal of Banking and Finance. 16 983-1004

  12. Doan, T. ; Litterman, R. User's manual RATS: Version 2.0. 1986 VAR Econometrics: Minneapolis
    Paper not yet in RePEc: Add citation now

  13. Fama, E.F. Stock returns, expected returns, and real activity. 1990 Journal of Finance. 1089-1109

  14. Fama, E.F. Stock returns, real activity, inflation and money. 1981 American Economic Review. 71 545-565

  15. Ferson, W.E. ; Harvey, C.R. Fundamental determinants of national equity markets returns: A perspective on conditional asset pricing. 1998 Journal of Banking and Finance. 21 1625-1665
    Paper not yet in RePEc: Add citation now
  16. Fisher, I. Theory of interest rates. 1930 MacMillan: New York
    Paper not yet in RePEc: Add citation now

  17. French, K. ; Schwert, W.G. ; Stambaugh, F.R. Expected stock returns and volatility. 1987 Journal of Financial Economics. 19 3-29

  18. Giovannini, A. ; Jorion, P. Time variation of risk and return in foreign exchange and stock markets. 1989 Journal of Finance. 44 307-325

  19. Harvey, C.R. The world price of covariance risk. 1991 Journal of Finance. 46 111-157

  20. IFC, Emerging stock markets factbook. 2000 International Finance Corporation: Washington DC
    Paper not yet in RePEc: Add citation now

  21. Karolyi, G.A. Did the Asian financial crisis scare foreign investors out of Japan?. 2002 Pacific-Basin Finance Journal. 10 411-442

  22. Koop, G. ; Pesaran, M.H. ; Potter, S.M. Impulse response analysis in nonlinear multivariate models. 1996 Journal of Econometrics. 74 119-147

  23. Lastrapes, W.D. ; Koray, F. International transmission of aggregate shocks under fixed and flexible exchange rate regimes: United Kingdom, France and Germany, 1959 – 1985. 1990 Journal of International Money and Finance. 9 402-423

  24. Lutkenpohl, H. Introduction to multiple time series analysis. 1991 Springer: Berlin
    Paper not yet in RePEc: Add citation now

  25. Mandelker, G. ; Tendon, K. Common stock returns, real activity, money, and inflation: Some international evidence. 1985 Journal of International Money and Finance. 4 267-286

  26. McMillin, W.D. The velocity of M1 in the 1980s: Evidence from multivariate time series model. 1991 Southern Economic Journal. 57 34-48
    Paper not yet in RePEc: Add citation now

  27. Mukherjee, T.K. ; Naka, A. Dynamic relations between macroeconomic variables and the Japanese stock market: An application of vector error-correction model. 1995 The Journal of Financial Research. 18 223-237

  28. Ortiz, E. ; Arjona, E. Heteroskedastic behavior of the Latin American emerging stock markets. 2001 International Review of Financial Analysis. 10 287-305

  29. Pagán, J.A. ; Soydemir, G.A. Response asymmetries in Latin American equity markets. 2001 International Review of Financial Analysis. 10 175-185

  30. Pebbles, G. ; Wilson, P. The Singapore economy. 1996 Edward Elgar: Cheltenham, UK

  31. Pesaran, M.H. ; Shin, Y. Generalized impulse response analysis in linear multivariate models. 1998 Economics Letters. 58 17-29

  32. Runkle, D.E. Vector autoregressive and reality. 1987 Journal of Business and Economics Statistics. 437-442
    Paper not yet in RePEc: Add citation now

  33. Sims, C.A. Macroeconomics and reality. 1980 Econometrica. 48 1-49

  34. Soydemir, G. International transmission mechanism of stock market movements: Evidence from emerging equity markets. 2000 Journal of Forecasting. 19 146-176
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Givers or Recipients? Co-Movements between Stock Markets of CEE-3 and Developed Countries. (2019). Grabowski, Wojciech.
    In: Sustainability.
    RePEc:gam:jsusta:v:11:y:2019:i:22:p:6495-:d:288258.

    Full description at Econpapers || Download paper

  2. Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate. (2015). Yoon, Seong-Min ; Mensi, walid ; Hammoudeh, Shawkat.
    In: Energy Economics.
    RePEc:eee:eneeco:v:48:y:2015:i:c:p:46-60.

    Full description at Econpapers || Download paper

  3. Testing for Causality in Mean and Variance between the Stock Market and the Foreign Exchange Market: An Application to the Major Central and Eastern European Countries. (2013). Çevik, Emrah ; Cevik, Emrah Ismail ; KOSEOGLU, Sinem Derindere .
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:63:y:2013:i:1:p:65-86.

    Full description at Econpapers || Download paper

  4. Volatility transmission between gold and oil futures under structural breaks. (2013). Ewing, Bradley ; Malik, Farooq .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:25:y:2013:i:c:p:113-121.

    Full description at Econpapers || Download paper

  5. The change-point problem and segmentation of processes with conditional heteroskedasticity. (2013). Badagian, Ana ; Kaiser, Regina ; Pea, Daniel.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws131718.

    Full description at Econpapers || Download paper

  6. Return and volatility spillovers among CIVETS stock markets. (2012). Korkmaz, Turhan ; Çevik, Emrah ; Atukeren, Erdal.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:13:y:2012:i:2:p:230-252.

    Full description at Econpapers || Download paper

  7. On the relationship of persistence and number of breaks in volatility: new evidence for three CEE countries. (2011). Výrost, Tomáš ; Lyócsa, Štefan ; Baumohl, Eduard ; Vrost, Toma ; Lyocsa, Tefan.
    In: MPRA Paper.
    RePEc:pra:mprapa:27927.

    Full description at Econpapers || Download paper

  8. VOLATILITY AND SPILL OVER EFFECTS IN INDIAN COMMODITY MARKETS: A CASE OF PEPPER. (2011). Kushankur, Dey ; Debasish, Maitra .
    In: Studies in Business and Economics.
    RePEc:blg:journl:v:6:y:2011:i:3:p:119-145.

    Full description at Econpapers || Download paper

  9. Modelling Stock Returns Volatility In Nigeria Using GARCH Models. (2010). Kalu O., Emenike ; Emenike, Kalu O..
    In: MPRA Paper.
    RePEc:pra:mprapa:22723.

    Full description at Econpapers || Download paper

  10. Predictive Content of Output and Inflation For Stock Returns and Volatility: Evidence from Selected Asian Countries. (2009). Habibullah, Muzafar Shah ; Abdul Hamid, Baharom ; Baharom, A. H. ; Fong, Kin Hing .
    In: MPRA Paper.
    RePEc:pra:mprapa:14114.

    Full description at Econpapers || Download paper

  11. An empirical analysis of structural changes in emerging market volatility. (2008). .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:6:y:2008:i:10:p:1-10.

    Full description at Econpapers || Download paper

  12. Inflation targeting in Latin America: Empirical analysis using GARCH models. (2008). Broto, Carmen.
    In: Working Papers.
    RePEc:bde:wpaper:0826.

    Full description at Econpapers || Download paper

  13. A switching ARCH (SWARCH) model of stock market volatility: some evidence from Latin America. (2007). Canarella, Giorgio ; Pollard, Stephen .
    In: International Review of Economics.
    RePEc:spr:inrvec:v:54:y:2007:i:4:p:445-462.

    Full description at Econpapers || Download paper

  14. Testing Asset Pricing Models in Emerging Markets: An Examination of Higher Order Co-Moments and Alternative Factor Models. (2007). Iqbal, Javed ; Galagedera, Don ; Brooks, Robert ; Don U A Galagedera, .
    In: MPRA Paper.
    RePEc:pra:mprapa:25020.

    Full description at Econpapers || Download paper

  15. The behavior of stock returns in the Asia-Pacific mining industry following the Iraq war. (2007). Fernandez, Viviana.
    In: Documentos de Trabajo.
    RePEc:edj:ceauch:243.

    Full description at Econpapers || Download paper

  16. Changes in the Dynamic Behavior of Emerging Market Volatility: Revisiting the Effects of Financial L. (2006). Pérez de Gracia, Fernando ; Gómez Biscarri, Javier ; Cuñado, Juncal ; Cuado, Juncal .
    In: Faculty Working Papers.
    RePEc:una:unccee:wp0106.

    Full description at Econpapers || Download paper

  17. Portfolio management implications of volatility shifts: Evidence from simulated data. (2006). lucey, brian ; Fernandez, Viviana.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp131.

    Full description at Econpapers || Download paper

  18. Portfolio management implications of volatility shifts: Evidence from simulated data. (2006). lucey, brian ; Fernandez, Viviana.
    In: Documentos de Trabajo.
    RePEc:edj:ceauch:219.

    Full description at Econpapers || Download paper

  19. Spillover Effects among the Greater China Region Stock Markets. (2006). Johansson, Anders ; Ljungwall, Christer .
    In: Microeconomics Working Papers.
    RePEc:eab:microe:22046.

    Full description at Econpapers || Download paper

  20. Rank-based unit root testing in the presence of structural change under the null: simulation results and an application to US inflation. (2005). Cook, Steven.
    In: Applied Economics.
    RePEc:taf:applec:v:37:y:2005:i:6:p:607-617.

    Full description at Econpapers || Download paper

  21. Dynamic Linkages Between the Greater China Economic Area Stock Markets—Mainland China, Hong Kong, and Taiwan. (2005). Glascock, John ; Cheng, Hwahsin.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:24:y:2005:i:4:p:343-357.

    Full description at Econpapers || Download paper

  22. Structural Breakpoints in Volatility in International Markets. (2005). Fernandez, Viviana.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp076.

    Full description at Econpapers || Download paper

  23. Stock Markets Turmoil: Worldwide Effects of Middle East Conflicts. (2005). Fernandez, Viviana.
    In: Documentos de Trabajo.
    RePEc:edj:ceauch:215.

    Full description at Econpapers || Download paper

  24. An Analysis of Political Changes on Nikkei 225 Stock Returns and Volatilities. (2005). Lin, Chin-Tsai ; Wang, Yi-Hsien.
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2005:v:6:i:1:p:169-183.

    Full description at Econpapers || Download paper

  25. The Effects of Transition and Political Instability On Foreign Direct Investment Inflows: Central Europe and the Balkans. (2004). Yigit, Taner ; Kutan, Ali ; Brada, Josef.
    In: William Davidson Institute Working Papers Series.
    RePEc:wdi:papers:2004-729.

    Full description at Econpapers || Download paper

  26. Long range dependence in daily stock returns. (2004). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:14:y:2004:i:6:p:375-383.

    Full description at Econpapers || Download paper

  27. Modelling the linkages between the Australian and G7 stock markets: common stochastic trends and regime shifts. (2004). Smyth, Russell ; Narayan, Paresh.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:14:y:2004:i:14:p:991-1004.

    Full description at Econpapers || Download paper

  28. Financial Liberalization and Emerging Stock Market Volatility. (2004). Gómez Biscarri, Javier ; J. Cuñado; J. Gómez, ; de Gracia, Prez F..
    In: Computing in Economics and Finance 2004.
    RePEc:sce:scecf4:124.

    Full description at Econpapers || Download paper

  29. SPURIOUS AND HIDDEN VOLATILITY. (2004). Ruiz, Esther ; Carnero, M. Angeles ; Pea, Daniel.
    In: Working Papers. Serie AD.
    RePEc:ivi:wpasad:2004-45.

    Full description at Econpapers || Download paper

  30. Detection of Breakpoints in Volatility. (2004). Fernandez, Viviana.
    In: Documentos de Trabajo.
    RePEc:edj:ceauch:194.

    Full description at Econpapers || Download paper

  31. Effects of Level Outliers on the Identification and Estimation of GARCH Models. (2004). Ruiz, Esther ; Carnero, M. Angeles ; Pereira, D..
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:21.

    Full description at Econpapers || Download paper

  32. Stock Market Cycles, Financial Liberalization and Volatility. (2003). Pérez de Gracia, Fernando ; Gómez Biscarri, Javier ; Edwards, Sebastian.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp0803.

    Full description at Econpapers || Download paper

  33. Testing for Changes in the Unconditional Variance of Financial Time Series. (2003). Sansó, Andreu ; Carrion-i-Silvestre, Josep ; Arago, Vicent .
    In: DEA Working Papers.
    RePEc:ubi:deawps:5.

    Full description at Econpapers || Download paper

  34. The effects of macroeconomic shocks on sector-specific returns. (2003). Payne, James ; Ewing, Bradley ; Forbes, Shawn M..
    In: Applied Economics.
    RePEc:taf:applec:v:35:y:2003:i:2:p:201-207.

    Full description at Econpapers || Download paper

  35. Modelling the linkages between US and Latin American stock markets. (2003). Sosvilla-Rivero, Simon.
    In: Applied Economics.
    RePEc:taf:applec:v:35:y:2003:i:12:p:1423-1434.

    Full description at Econpapers || Download paper

  36. Inflation and output as predictors of stock returns and volatility: international evidence. (2003). Kutan, Ali ; Davis, Nicole.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:13:y:2003:i:9:p:693-700.

    Full description at Econpapers || Download paper

  37. A contemporary analysis of Mexican stock market volatility. (2003). Walz, Daniel T. ; Spencer, Roger W. ; Gonzalez, Jorge G..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:13:y:2003:i:10:p:741-745.

    Full description at Econpapers || Download paper

  38. Behaviour of cointegration tests in the presence of structural breaks in variance. (2003). Kim, Tae-Hwan ; Noh, Jaesun .
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:10:y:2003:i:15:p:999-1002.

    Full description at Econpapers || Download paper

  39. Empirical evidence on the robustness of the weighted symmetric unit root test. (2003). Cook, Steven.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:10:y:2003:i:12:p:761-763.

    Full description at Econpapers || Download paper

  40. Stock Market Cycles, Financial Liberalization and Volatility. (2003). Pérez de Gracia, Fernando ; Gómez Biscarri, Javier ; Edwards, Sebastian.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9817.

    Full description at Econpapers || Download paper

  41. Public Information Arrival and the Fisher Effect in Emerging Markets: Evidence from Stock and Bond Markets in Turkey. (2003). Kutan, Ali ; Aksoy, Tansu.
    In: Journal of Financial Services Research.
    RePEc:kap:jfsres:v:23:y:2003:i:3:p:225-239.

    Full description at Econpapers || Download paper

  42. Interest Rate Volatility and Nominalization. (2003). Fernandez, Viviana.
    In: Documentos de Trabajo.
    RePEc:edj:ceauch:153.

    Full description at Econpapers || Download paper

  43. Macroeconomic news and the returns of financial companies. (2002). Ewing, Bradley.
    In: Managerial and Decision Economics.
    RePEc:wly:mgtdec:v:23:y:2002:i:8:p:439-446.

    Full description at Econpapers || Download paper

  44. Do Spanish Stock Market Prices Follow a Random Walk?. (2002). Pérez de Gracia, Fernando ; Gómez Biscarri, Javier ; Gil-Alana, Luis.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp0102.

    Full description at Econpapers || Download paper

  45. Detecting multiple breaks in financial market volatility dynamics. (2002). Ghysels, Eric ; Andreou, Elena.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:579-600.

    Full description at Econpapers || Download paper

  46. Investor panic, IMF actions, and emerging stock market returns and volatility: A panel investigation. (2001). Kutan, Ali ; Hayo, Bernd.
    In: ZEI Working Papers.
    RePEc:zbw:zeiwps:b272001.

    Full description at Econpapers || Download paper

  47. Investor Panic, IMF Actions, and Emerging Stock Market Returns and Volatility. (2001). Kutan, Ali ; Hayo, Bernd.
    In: International Finance.
    RePEc:wpa:wuwpif:0112001.

    Full description at Econpapers || Download paper

  48. Detecting Multiple Breaks in Financial Market Volatility Dynamics. (2001). Ghysels, Eric ; Andreou, Elena.
    In: University of Cyprus Working Papers in Economics.
    RePEc:ucy:cypeua:0202.

    Full description at Econpapers || Download paper

  49. Detecting Mutiple Breaks in Financial Market Volatility Dynamics. (2001). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-65.

    Full description at Econpapers || Download paper

  50. Accounting History Publications 1999. (2000). Anderson, Malcolm.
    In: Accounting History Review.
    RePEc:taf:acbsfi:v:10:y:2000:i:3:p:385-393.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-06 17:25:35 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.