Search Results - subject:"structural conditional correlation"

Bigger fish in small pond: The interaction between foreigners' trading and emerging stock market returns under the microscope

Ülkü, Numan; Weber, Enzo - 2011

combination of daily and monthly complete data collected at the destination. It also introduces the structural conditional … correlation (SCC) methodology to identify the contemporaneous interaction between foreign flows and returns. We show that global …

Persistent link: https://www.econbiz.de/10010281894

Bigger Fish in Small Pond: The Interaction between Foreigners’ Trading and Emerging Stock Market Returns under the Microscope

Ülkü, Numan; Weber, Enzo - Wirtschaftswissenschaftliche Fakultät, Universität … - 2011

Persistent link: https://www.econbiz.de/10008790089

Spillover and Comovement: The Contagion Mechanism of Systemic Risks Between the U.S. and Chinese Stock Markets

Liu, Yaqing; Ouyang, Hongbing - In: Emerging Markets Finance and Trade 50 (2014) 03, pp. 109-121

movement under common external influences. We propose using the structural conditional correlation model to measure these two … between the residual series of the structural conditional correlation model for China and U.S. stock index returns, which …

Persistent link: https://www.econbiz.de/10011094378

Spillover and comovement : the contagion mechanism of systemic risks between the US and Chinese stock markets

Liu, Yaqing; Ouyang, Hongbing - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 109-121

Persistent link: https://www.econbiz.de/10010465130

Identifying the interaction between stock market returns and trading flows of investor types: Looking into the day using daily data

Ülkü, Numan; Weber, Enzo - In: Journal of Banking & Finance 37 (2013) 8, pp. 2733-2749

This paper introduces a new method for identifying the simultaneity between returns and trading flows. The proposed method enables us to identify the intraday interaction using daily data, and provides measures of the information content of trading flows, and their instantaneous response to...

Persistent link: https://www.econbiz.de/10011065736

Identifying the interaction between stock market returns and trading flows of investor types : looking into the day using daily data

Ülkü, Numan; Weber, Enzo - In: Journal of banking & finance 37 (2013) 8, pp. 2733-2749

Persistent link: https://www.econbiz.de/10009776379