Stock Market Integration For The Transition Economies: Time‐Varying Conditional Correlation Approach

By Ping Wang, T. Moore. 2008

122 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e48632c28a006243def33340bf8ed704e8fb28ba

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Citations in the corpus

Dynamic linkage between real exchange rates and stock prices: Evidence from developed and emerging Asian markets (2014, methodology): “4 The methodology has been utilised for financial analysis; see for example, Chiang, Jeon, and Li (2007) and Wang and Moore (2008) for the study of stock market contagion and comovements, and also Bautista (2006) for the investigation of the relationship between exchange rates and interest rate…”
Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets☆ (2011, background): “Moreover, Wang and Moore (2008) documented a higher level of the stock market correlation between three emerging CEE markets and the aggregate eurozone market during the period after the Asian and Russian crises and also during the post-entry period to the European-union.”
Stock Market Comovements in Central Europe: Evidence from Asymmetric DCC Model (2013, methodology): “Using a DCC model, Wang and Moore (2008) examine the interdependence (and its drivers) between three major emerging markets (the Czech Republic, Poland and Hungary) vis–à–vis the aggregate euro area market.”
Can Sustainable Investment Yield Better Financial Returns: A Comparative Study of ESG Indices and MSCI Indices (2019, methodology): “…SIC as benchmarks, where the model with lowest AIC and SIC values is chosen to be applied in individual series, which is also evident in the studies by Bildirici and Ersin (2009); Su (2010); Dimitriou et al. (2013); Kalu (2015); Kenourgios and Dimitriou (2015); Tse (1999) and Wang and Moore (2008).”