On measuring synchronization of bulls and bears: The case of East Asia

By B. Candelon, J. Piplack, Stefan Straetmans. 2008

190 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f4709993b552a5f6e986dfca73434bce27ffd204

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Citations in the corpus

Oil shock transmission to stock market returns: Wavelet-multivariate Markov switching GARCH approach (2012, background): “[57] argue that investors with short term profit goals focus on the price relationship at higher frequencies (short term price reactions) whereas investors looking for long term gains are interested in the price interactions at lower frequencies (long term price reactions).”
Co-movement between sharia stocks and sukuk in the GCC markets: A time-frequency analysis (2015, background): “These findings 289 concur with the results from the Granger causality tests and are in line with recent evidence provided by Dewandaru et al. 290 (2013). Those authors unveil that the recent US-born subprime crisis has generated both long-term and short-term shocks to 291 volatility of all Islamic e”
Global capital market interdependence and spillover effect of credit risk: evidence from the 2007–2009 global financial crisis (2010, background): “Most prominently, the overall findings contribute to existing literature on understanding how a shocks originated from one region can create contagion effect during financial crises (Longin and Solnik, 2001; Campbell et al., 2002; Van Royen, 2002; Bekaert et al., 2005; Candelon et al., 2008).”
International comovement of stock market returns: a wavelet analysis (2009, background): “V aR(α) = V0Φ −1(1− α)σp (9) where V0 is the value of the initial investment, Φ(.”
Contagion as a domino effect in global stock markets (2009, unknown): “Using information from the business cycle, Candelon et al. (2008) find a significant increase in the cross-country comovements of five Asian stock markets during the Asian crisis.”
Revisiting the empirical linkages between stock returns and trading volume (2012, methodology): “Model A: A Nonparametric Approach Candelon et al. (2008) note that the key feature of nonparametric dating algorithms is the location of turning points (peaks and troughs), which correspond to the local maxima and minima of the series. We follow the setting in Candelon et al. (2008) to identify a pe”
Crises and contagion in Asia Pacific — Islamic v/s conventional markets (2015, background): “In regard to financial contagion, the proof might be seen from the evolution of co-movement temporarily across diverse markets amid crisis periods (Candelon et al., 2008; Chakrabarti and Roll, 2002; and so on).”
A wavelet-based assessment of market risk: The emerging markets case (2012, background): “The wavelet 2 can be computed as (2)(  ) = (  ) 2 |(  )|(2) |(  )|(2) (13)”