글로벌 주식시장의 가격발견기능과 전이효과

논문상세정보
' 글로벌 주식시장의 가격발견기능과 전이효과' 의 주제별 논문영향력
논문영향력 선정 방법
논문영향력 요약
주제
  • 경제학
  • dcc-garch
  • price recovery
  • spillover effect
  • spillover index
  • stock market
동일주제 총논문수 논문피인용 총횟수 주제별 논문영향력의 평균
7,938 0

0.0%

' 글로벌 주식시장의 가격발견기능과 전이효과' 의 참고문헌

  • 한국, 상해, 심천 주식시장의 정보전이효과에 관한 연구
    이치송 산업경제연구 27 (3) : 1215 ~ 1232 [2014]
  • 통화 선물시장과 현물시장 간의 가격발견기능과 전이효과–선진국과 신흥국의 비교
    설성군 선물연구 22 (2) : 193 ~ 221 [2014]
  • 중국과 홍콩 주식시장간의 변동성의 선도지연관계에 대한 연구
    김경수 산업경제연구 23 (4) : 1743 ~ 1768 [2010]
  • 아시아 시장에서의 환율과 주가간의 변동성 전이효과
    김민건 국제지역연구 17 (1) : 173 ~ 194 [2013]
  • 산업별 외국인 지분변화가 주식시장 변동성에 미치는 영향
    강인철 산업경제연구 25 (2) : 1187 ~ 1206 [2012]
  • 개별주식선물과 현물시장의 가격발견기능 및 비대칭적 변동성 전이효과 연구
    홍정효 선물연구 19 (3) : 281 ~ 308 [2011]
  • Volatility Spillovers between the Chinese and World Equity Markets
    Zhou, Xiangyi Pacific-Basin Finance Journal 20 : 247 ~ 270 [2012]
  • Volatility Spillover between the KOSPI 200 Spot and Futures Markets Using the VECM-DCC-GARCH Model
    강상훈 선물연구 19 (3) : 223 ~ 249 [2011]
  • The More Contagion Effect on Emerging Markets : the Evidence of DCC-GARCH Model
    Celik, Sibel Economic Modelling 29 : 1946 ~ 1959 [2012]
  • The Impact of the US Economy on the Asia-Pacific Region : Does it Matter?
    Hsiao, S. T. Journal of Asian Economics 14 : 219 ~ 241 [2003]
  • Spillovers of Stock Return Volatility to Asian Equity Markets from Japan and the US
    Miyakoshi, T. Journal of International Financial Markets, Institutions & money 13 : 383 ~ 399 [2003]
  • Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
    Diebold, Francis X. Economic Journal 119 : 158 ~ 171 [2009]
  • Mean and Volatility Spillovers across Major National Stock Markets : Further Empirical Evidence
    Theodossiou, P. Journal of Financial Research 16 : 337 ~ 350 [1993]
  • Martingale Difference Hypothesis and Financial Crisis : Empirical Evidence from European Emerging Foreign Exchange Markets
    Lazar, Dorina Economic System 36 : 338 ~ 350 [2012]
  • Investigation of a Lead-lag Relationship between Spot Stock Indices and their Future Contracts
    Herbst, A. F. Journal of Futures Markets 7 : 373 ~ 381 [1987]
  • Intraday and Intraweek Volatility Patterns of Hang Seng Index and Index Futures, and a Test of the Wait-totrade Hypothesis
    Tang, Gordon Y. N. Pacific-Basin Finance Journal 10 : 475 ~ 495 [2002]
  • Intraday Volatility Spillovers between Spot and Futures Indices : Evidence from the Korean Stock Market
    Kang, Sang Hoon Physica A 392 : 1795 ~ 1802 [2013]
  • Intraday Trading Volume and International Spillover Effects
    Hussain, Syed Mujahid Research in International Business and Finance 25 : 183 ~ 194 [2011]
  • Intraday Price Discovery and Volatility Transmission in Stock Index and Stock Index Future Markets : Evidence from China
    Yang, Jian Journal of Future Markets 32 : 99 ~ 121 [2012]
  • Informed Futures Trading and Price Discovery : Evidence from Taiwan Futures and Stock Markets
    Lee, Yi-Tsung Asia-Pacific Financial Markets 20 : 219 ~ 242 [2013]
  • Impulse Response Analysis in Nonlinear Multivariate Models
    Koop, G. M. Journal of Econometrics 74 (1) : 119 ~ 147 [1996]
  • Hedging Performance of Chinese Stock Index Futures : an Empirical Analysis using Wavelet Analysis and Flexible Bivariate GARCH Approaches
    Hou, Yang Pacific-Basin Finance Journal 24 : 109 ~ 131 [2013]
  • Generalized Impulse Response Analysis in Linear Multivariate Models
    Pesaran, H. Hashem Economics Letters 58 (1) : 17 ~ 29 [1998]
  • Exchange Return Co-movements and Volatility Spillovers before and after the Introduction of Euro
    Antonakakis, Nikolaos Journal of International Financial Markets, Institutions & Money 22 : 1091 ~ 1109 [2012]
  • Dynamic Conditional Correlation-A Simple Class of Multivariate GARCH Models
    Engle, R. F. Journal of Business & Economic Statistics 20 : 339 ~ 350 [2002]
  • Determinants of Stock Market Comovements among US and Emerging Economies during the US Financial Crisis
    Hwang, Eugene Economic Modelling 35 : 338 ~ 348 [2013]
  • Correlation in Price Changes and Volatility across International Stock Markets
    Hamao, Y. R. The Review of Financial Studies 3 : 281 ~ 307 [1990]
  • Better to Give than to Receive : Predictive Directional Measurement of Volatility Spillovers
    Diebold, Francis X. International Journal of Forecasting 28 : 57 ~ 66 [2012]
  • A Study on the Relationship between Volatility of Industrial Stock Market and Volatility of Exchange Rate
    Kang, In-Cheol Korea Journal of Business Administration 44 : 1 ~ 22 [2006]
  • A Further Analysis of the Lead-lag Relationship between the Cash Market and Stock Index Futures Market
    Chan, Kalok Review of Financial Studies 5 : 123 ~ 152 [1992]