1 |
Ajmi AN, Hammoudeh S, Nguyen DK, and Sarafrazi S (2014). How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests, Journal of International Financial Markets, Institutions and Money, 28, 213-227.
DOI
|
2 |
Baek EA and Oh MS (2016). Volatility spillover between the Korean KOSPI and the Hong Kong HSI stock markets, Communications for Statistical Applications and Methods, 23, 203-213.
DOI
|
3 |
Engle R (2002). Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models, Journal of Business & Economic Statistics, 20, 339-350.
DOI
|
4 |
Eun CS and Shim S (1989). International transmission of stock market movements, Journal of Financial and Quantitative Analysis, 24, 241-256.
DOI
|
5 |
Granger CWJ (1969). Investigating causal relations by econometric models and cross-spectral methods, Econometrica: Journal of the Econometric Society, 37, 424-438.
DOI
|
6 |
Hafner CM and Herwartz H (2009). Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity, Statistica Neerlandica, 63, 294-323.
DOI
|
7 |
Kim SJ (2005). Information leadership in the advanced Asia-Pacific stock markets: Return, volatility and volume information spillovers from the US and Japan, Journal of the Japanese and International Economies, 19, 338-365.
DOI
|
8 |
Kim SW and Rogers JH (1995). International stock price spillovers and market liberalization: Evidence from Korea, Japan, and the United States, Journal of Empirical Finance, 2, 117-133.
DOI
|
9 |
Kim WH (2014). Time-varying comovement of KOSPI 200 sector indices returns, Communications for Statistical Applications and Methods, 21, 335-347.
DOI
|
10 |
Kim WH and Bang SB (2014). Regime-dependent characteristics of KOSPI return, Communications for Statistical Applications and Methods, 21, 501-512.
DOI
|
11 |
Mantalos P (2000). A graphical investigation of the size and power of the Granger-causality tests in integrated-cointegrated VAR systems, Studies in Nonlinear Dynamics & Econometrics, 4, 1558-3708.
|
12 |
Masih AMM and Masih R (1999). Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets, Pacific-Basin Finance Journal, 7, 251-282.
DOI
|
13 |
Masih R and Masih AMM (2001). Long and short term dynamic causal transmission amongst international stock markets, Journal of International Money and Finance, 20, 563-587.
DOI
|
14 |
McMillin WD (1988). Money growth volatility and the macroeconomy, Journal of Money, Credit and Banking, 20, 319-335.
DOI
|
15 |
NyakabawoW, Miller SM, Balcilar M, Das S, and Gupta R (2015). Temporal causality between house prices and output in the US: A bootstrap rolling-window approach, The North American Journal of Economics and Finance, 33, 55-73.
DOI
|
16 |
Smith KL, Brocato J, and Rogers JE (1993). Regularities in the data between major equity markets: evidence from Granger causality tests, Applied Financial Economics, 3, 55-60.
DOI
|
17 |
Pesaran MH and Timmermann A (2005). Small sample properties of forecasts from autoregressive models under structural breaks, Journal of Econometrics, 129, 183-217.
DOI
|
18 |
Rapach DE, Strauss JK, and Zhou G (2013). International stock return predictability: what is the role of the United States?, The Journal of Finance, 68, 1633-1662.
DOI
|
19 |
Singh RP and Kishor N (2017). Short and long run inter linkages of market returns of Indian stock market with developed stock markets, International Journal of Technology Transfer and Commercialisation, 15, 203-223.
DOI
|
20 |
Stambaugh RF (1999). Predictive regressions, Journal of Financial Economics, 54, 375-421.
DOI
|
21 |
Yang T and Lim JJ (2004). Crisis, contagion, and East Asian stock markets, Review of Pacific Basin Financial Markets and Policies, 7, 119-151.
DOI
|