Long and short term dynamic causal transmission amongst international stock markets

By Rumi Masih, A. M. Masih. 2001

329 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/5527f91e8d0fbf929fcbe37b9ee2ccdf1e32f01f

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In Economics and Econometrics

Citations in the corpus

Stock market integration and financial crises: the case of Asia (2003, unknown): “The only difference is that one rather than zero cointegrating vector is found in the pre-crisis period, which is consistent with Masih and Masih (1999, 2001).”
Dynamic Herding Behavior in Pacific-Basin Markets: Evidence and Implications (2013, background): “Masih and Masih (2001) note that the financial information in the US market is considered to be most influential, and the VIX is also widely used in the literature (Beirne et al., 2009).”
Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model (2003, background): “As a result, investors tend to react more to news from the US market than from other markets (Eun and Schim, 1989; Becker at el, 1995; and Masih and Masih, 2001).”
Transmission of the Financial and Sovereign Debt Crises to the EMU: Stock Prices, CDS Spreads and Exchange Rates (2012, result): “Similar findings are also obtained by Masih and Masih (2001).”
The co-movement of stock markets in East Asia: Did the 1997-1998 Asian financial crisis really strengthen stock market integration? (2010, result): “To conclude, although some studies have argued that the Japanese stock market is the leading market in the Asian region (e.g., Ghosh et al., 1999; Masih and Masih, 2001), our results do not support this notion, at least not for the six East Asian stock markets that are included in our”
Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic (2020, unknown): “…(e.g., Calvo and Reinhart, 1996; Caramazza et al., 2004; Haile and Pozo, 2008), the Asian Crisis in 1997 (e.g., Sheng and Tu, 2000; Masih and Masih, 2001; Climent and Meneu, 2003; Khalid and Kawai, 2003; Caporale et al., 2006; Engle et al., 2012), the Russian Default in 1998 (e.g., Chen et…”
An empirical analysis of herd behavior in global stock markets (2010, methodology): “Since the US market plays a significant role in financial transactions across global markets, it motivates us to use the US market return squared as an argument in the test equation (Masih and Masih, 2001).”
Testing the Conventional and Islamic Financial Market Contagion: Evidence from Wavelet Analysis (2016, result): “Consistent with others in the literature (Kasa 1992; Masih and Masih 2001), the raw indices have been transformed to reflect real U.S. dollars in order to adopt the perspective of the U.S. investor.”