The Comovements of Stock Markets in Hungary, Poland and the Czech Republic

By Martin Scheicher. 2001

190 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/307626b0b895aef21b79fadfe01e4593e2b479e3

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Citations in the corpus

Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets☆ (2011, background): “Additionally, Scheicher (2001) found evidence of limited interaction between some of the CEE markets and the major markets for daily stock market volatility.”
Transmission of equity returns and volatility in Asian developed and emerging markets : a multivariate Garch analysis (2004, background): “A few studies have even extended these to the multivariate case [see, for example, Tse (2000), Tay and Zhu (2000) and Scheicher (2001) ].”
Interdependence between Eastern and Western European stock markets: Evidence from intraday data (2007, background): “Scheicher (2001) finds evidence of limited interaction between the CEE-3 and major markets: in returns, both regional and global shocks are identified, but innovations to volatility chiefly exhibit a regional character.”
Dynamic linkages between emerging European and developed stock markets: Has the EMU any impact? (2007, background): “Scheicher (2001) documents the pivotal influence of global factors on the Hungarian stock market, due to the high share of active international investors in this market.”
Volatility Transmission Models: A Survey (2006, unknown): “Scheicher (2001) also finds no correlation between USA and several emerging markets and suggests that, in contrast with developed markets, international spillovers tend to be in returns and not in volatilities.”
Global and Regional Spillovers in Emerging Stock Markets: A Multivariate Garch-in-Mean Analysis (2010, background): “Scheicher (2001), Chelley-Steeley (2005), and Yang, Hsiao and Wang (2006) examine extent and effects of stock market integration in Central and Eastern Europe, both within the region and with advanced markets, while Chen, Firth and Rui (2002) look at evidence of regional linkages among Latin…”
Stock Market Comovements in Central Europe: Evidence from Asymmetric DCC Model (2013, background): “…our research from a large body of literature on interdependence among different Central European markets (Kasch-Haroutounian and Price, 2001, Scheicher, 2001, Voronkova, 2004, Patev et al., 2006, Egert and Kocenda, 2007, Syriopulos, 2007, Gilmore et al., 2008, Wang and Moore, 2008, Savva…”