This paper applies recently developed unit root and cointegration models to determine the
appropriate Granger relations between stock prices and exchange rates using recent Asian …

This article examines the spillover effect between the US market and five of the most
important emerging stock markets namely those of the BRICS (Brazil, Russia, India, China …

This paper investigates the mean return and volatility spillover effects from the US and
Japan to four Asian stock markets, including Hong Kong, Singapore, Taiwan, and Thailand …

This paper explores the causality and cointegration relationships among the stock markets
of the United States, Japan and the South China Growth Triangle (SCGT) region. Applying …

This study investigates the impact of the recently introduced Shanghai-Hong Kong Stock
Connect. Using high frequency data and dynamic forecasting techniques, we find that the …

An important aspect of increased international financial integration is the associated
increase in volatility spillover. Analyzing volatility spillovers from advanced economies to …

In this paper, we study the impact of political news on the stock market volatility in Hong
Kong. Two indices are used: blue-chip shares are proxied by the Hang Seng Index, and …

This paper investigates the time-series behavior of stock returns for seven Asian stock
markets. In most cases, higher average returns appear to be associated with a higher level …

Financial development and globalization have significantly integrated stock markets around
the world. This higher degree of interdependence and integration not only provides firms …

The response of investors to unexpected returns and the information transmission in the
stock markets of the Greater China area are investigated in this study. First, we analyze the …