Comovements in International Stock Markets
By Claudio Morana, Andrea Beltratti. 2008
171 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/9540c72c4c0a812935994a4002ffb11e1a55e8d1
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Rangan Gupta
- Duc Khuong Nguyen
- Riadh Aloui
- M. Wohar
- Aviral Kumar Tiwari
- Juncal Cunado
- Heikki Lehkonen
- Ariane Chapelle
In Finance
- Rangan Gupta
- Duc Khuong Nguyen
- Riadh Aloui
- Heikki Lehkonen
- Aviral Kumar Tiwari
- Juncal Cunado
- Ariane Chapelle
- Mohamed Safouane Ben Aïssa
Citations in the corpus
- No contagion, only globalization and flight to quality (2012, background): “, the general increase of correlations within asset classes and across geographical areas over the past decades, is well documented, both for equities (Berben and Jansen, 2005; Morana and Beltratti, 2008) and for government bonds (Hunter and Simon, 2004).”
- Global Financial Crisis, Extreme Interdependences, and Contagion Effects: The Role of Economic Structure? (2011, background): “…greatly stimulated by the globalization of capital markets around the world (see, e.g., Eun and Shim, 1989; Hamao et al., 1990; Karolyi, 1995; Forbes and Rigobon, 2002; Phylaktis and Ravazzolo, 2005; Syriopoulos, 2007; Gilmore et al., 2008; Morana and Beltratti, 2008; Kizys and Pierdzioch, 2009).”
- Volatility spillovers across global asset classes: Evidence from time and frequency domains (2018, background): “1 An important research topic in the literature is the analysis of international volatility spillovers (see for example, Dungey and Martin, 2007; Morana and Beltratti, 2008; Diebold and Yilmaz, 2009; Duncan and Kabundi, 2014; Ehrmann et al., 2011; Bayoumi and Bui, 2012; Antonakakis and Vergos, 2013;”
- Stock Market Integration and the Global Financial Crisis (2015, background): “See Bekaert and Harvey (1997) and Morana and Beltratti (2008). problem, we simply exclude the return value unless it is computed from two index values that are either one calendar day apart or, in the case of Friday and Monday, three calendar days apart.”