The Structure of Interdependence in International Stock Markets

By David A. Bessler, Jian Yang. 2003

457 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/a452a3ea9c806157e0e2eb70221de99a3f8833ea

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In Economics and Econometrics

Citations in the corpus

The Emerging Market Crisis and Stock Market Linkages: Further Evidence (2006, unknown): “Consistent with Koch and Koch (1991) and Bessler and Yang (2003), the long-run relationship and the short-run dynamic linkages 8 Comparable to our study, rather strong contemporaneous correlation of VAR residuals is also present in these studies.”
Causal Inference by Independent Component Analysis: Theory and Applications* (2013, unknown): “…in the graphical causal model literature (Spirtes et al. 2000; Pearl, 2000), which are mostly based on conditional independence tests on the residuals (Swanson and Granger, 1997; Bessler and Lee, 2002; Bessler and Yang, 2003; Demiralp and Hoover, 2003; Moneta, 2004, 2008; Demiralp et al. 2008).”
Is the export-led growth hypothesis valid for Canada? (2003, unknown): “VAR innovations (see Bessler and Lee 2002; Bessler and Yang 2003).”
International portfolio diversification to Central European stock markets (2004, background): “…et al., 1997; Choudhry, 1997; Masih and Masih, 1997; Francis and Leachman, 1998; Chatterjee et al., 1998; Aggarwal et al., 1999; Ghosh et al., 1999; Ratanapakorn and Sharma, 2002; Chen et al., 2002; Capelle-Blancard and Raymond, 2002; Swanson, 2003; Chaudhuri and Wu, 2003; Bessler and Yang, 2003).”
Dynamic linkages between emerging European and developed stock markets: Has the EMU any impact? (2007, unknown): “…2001; Sharma & Wongbangpo, 2002; Yang, Kolari et al., 2003; Yang, Min et al., 2003); on Latin American stock markets (e.g. Chen, Firth, & Rui, 2002); and on cross-regional stock market relations (e.g. Bessler & Yang, 2003; Chaudhuri & Wu, 2003; Masih & Masih, 1997; Ratanapakorn & Sharma, 2002).”
Network causality structures among Bitcoin and other financial assets: A directed acyclic graph approach (2018, background): “2.2 DAG theory Introduced by Spirtes et al. (2000) to quantitatively determine the contemporaneous causal relations among variables, the DAG approach has been widely applied to commodity and finance markets (Awokuse and Bessler 2003; Bessler and Yang 2003; Ji and Fan 2015; Ji and Fan 2016).”
Stock market integration and financial crises: the case of Asia (2003, unknown): “Email: jian_yang@pvamu.edu 1 See Bessler and Yang (2003) for a summary of such analysis conducted in major international stock markets.”
EMU and European Government Bond Market Integration (2010, unknown): “Ht=C’C + A’ξt-1 ξ’ t-1 A + B’ Ht-1B (4)”
The co-movement of stock markets in East Asia: Did the 1997-1998 Asian financial crisis really strengthen stock market integration? (2010, background): “Bessler and Yang (2003), for example, find that exchange rate adjustments can influence long-run co-integrating relationships, although they generally do not affect the”
Dynamic stock market integration driven by the European Monetary Union: An empirical analysis (2005, background): “(2002) and Bessler and Yang (2003) for other empirical studies using the cointegration and/or vector error correction technique(s).”