Determinants of stock market comovements among US and emerging economies during the US financial crisis

Measuring financial market risk contagion using dynamic MRS-Copula models: The case of Chinese and other international stock markets

“…The Chinese stock market is slightly affected by the external financial risk for most of the time from January, 1997 to June, 2015. Our results are partly consistent with Hwang et al (2013). Hwang et al (2013) calculate the dynamic conditional correlations (DCCs) based on GARCH models, and find that the DCC between China and US is lower than most of the other matchups.…”

“…Our results are partly consistent with Hwang et al (2013). Hwang et al (2013) calculate the dynamic conditional correlations (DCCs) based on GARCH models, and find that the DCC between China and US is lower than most of the other matchups. Although the supervisors have increased the openness of stock markets, the liquidity linkages between China and international markets are weakened by the capital control.…”

“…King and Wadhwani (1990), Baig and Goldfajn (1999), Barberis et al (2005), Huyghebaert and Wang (2010), Hwang et al (2013), and Aloui and Hkiri (2014) focus on the co-movement of the financial markets. Awokuse et al (2009), Zhu et al (2014), and He et al (2015) study the financial market interdependence, and stress on whether a country's financial market is influenced by other international financial markets.…”

Global factors driving structural changes in the co-movement between sharia stocks and sukuk in the Gulf Cooperation Council countries

“…For the GCC policymakers, our findings provide more insights into the main determinants of the co-movements between the GCC sharia stocks and sukuk. Baur andLucey (2009), Chiang, Huang, andYin (2013), Connolly and Stivers (2003), Hwang, Min, Kim, and Kim (2013), Lo (1991), Masih and Masih (1997). …”

Networks of volatility spillovers among stock markets

“…We have considered variables that are readily available and that are used in the previous literature (e.g., Hwang et al [55]; Luchtenberg and Vu, [56]; Mobarek et al [57]) As our dependent variable corresponds to the extent of volatility spillovers from market i to market j, each country/market variable corresponds either to the out-vertex market ('i') or in-vertex market ('j'). We have considered the same set of explanatory variables for in-and out-vertex markets at first, but the four stocks and foreign exchange variables were not important for the in-vertex market; additionally, we made a pragmatic choice to report only the results from the models, where four (stock and foreign exchange) market variables were not used for the in-vertex market.…”