Volatility spillovers between the Chinese and world equity markets
By Xiangyi Zhou, Weijin Zhang, Jie Zhang. 2012
256 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/f3015b58b53a5a32e41016e02ad0b4fa2c4a42dd
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
- George Filis
- David Gabauer
- Nikolaos Antonakakis
- Sang Hoon Kang
- Kimiko Sugimoto
- Yushi Yoshida
- Takashi Matsuki
- Stavros Degiannakis *
In Finance
- George Filis
- David Gabauer
- Kimiko Sugimoto
- Yushi Yoshida
- Takashi Matsuki
- M. Dragouni
- Seong‐Min Yoon
- Buerhan Saiti
Citations in the corpus
- How strong is the linkage between tourism and economic growth in Europe (2015, background): “…spillover index has already attracted a considerable attention in the economic literature (see, inter alia, McMillan and Speight, 2010; Yilmaz, 2010; Bubák et al., 2011; Antonakakis, 2012; Zhou et al., 2012; Antonakakis and Badinger, 2014) and this is its first application to the tourism context.”
- Refined Measures of Dynamic Connectedness based on TVP-VAR (2017, background): “…cycle spillovers and bond yields spillovers (see, inter alia, McMillan and Speight, 2010; Yilmaz, 2010; Bubák et al., 2011; Antonakakis, 2012; Zhou et al., 2012; Antonakakis and Vergos, 2013; Antonakakis and Badinger, 2014; Narayan et al., 2014; Bostanci and Yilmaz, 2015; Diebold and…”
- Testing the Conventional and Islamic Financial Market Contagion: Evidence from Wavelet Analysis (2016, background): “Zhou, Zhang, and Zhang (2012) found that the Greater Chinese stock markets (China, Hong Kong, and Taiwan) were not greatly affected by the volatility during the global crisis of July 2007.”
- Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2017, background): “These distinctive features provide more information about dynamic directional spillovers than does measurement of the significance of a parameter estimated under a variance–covariance matrix framework, as in the MGARCH models (Zhou et al., 2012).”
- The global financial crisis: An analysis of the spillover effects on African stock markets (2014, background): “Our evidence shows that within-region spillovers are much smaller than spillovers from developed countries, whereas Zhou, Zhang, and Zhang (2012) find that spillovers are greater among China, Hong Kong, and Taiwan than spillovers of these countries with the US, the UK, or Japan.”