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Applied Economics Volume 42, 2010 - Issue 7
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Original Articles

Modelling the interactions across international stock, bond and foreign exchange markets

Abdul Hakim Department of Economics, University of Western Australia, Australia and Faculty of Economics, Indonesian Islamic University, IndonesiaCorrespondence[email protected]
&
Michael McAleer Department of Economics, University of Western Australia, Australia
Pages 825-850 | Published online: 12 Nov 2008

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Sudarsana Sahoo, Harendra Behera & Pushpa Trivedi. (2019) Return and volatility spillovers between currency and bond markets in India. Macroeconomics and Finance in Emerging Market Economies 12:2, pages 155-173.
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Pami Dua & Divya Tuteja. (2016) Linkages between Indian and US financial markets: impact of global financial crisis and Eurozone debt crisis. Macroeconomics and Finance in Emerging Market Economies 9:3, pages 217-240.
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Articles from other publishers (21)

Bin-xia Chen & Yan-lin Sun. (2024) Financial market connectedness between the U.S. and China: A new perspective based on non-linear causality networks. Journal of International Financial Markets, Institutions and Money 90, pages 101886.
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Aykut KARAKAYA & Melih KUTLU. (2023) Asymmetry in Return and Volatility Spillovers Between Stock and Bond Markets in Turkey. Ege Akademik Bakis (Ege Academic Review).
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Justine Wang, Mark Tomlins & Piyush Tiwari. (2022) Information and volatility linkages between real estate, equity, bond and money markets in Australia. International Journal of Housing Markets and Analysis 16:2, pages 292-317.
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Njamba Kapalu & Odongo Kodongo. (2022) Financial markets' responses to COVID-19: A comparative analysis. Heliyon 8:9, pages e10469.
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Zaghum Umar, Imran Yousaf, Mariya Gubareva & Xuan Vinh Vo. (2022) Spillover and risk transmission between the term structure of the US interest rates and Islamic equities. Pacific-Basin Finance Journal 72, pages 101712.
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JingJing (Justine) Wang & John S. Croucher. (2020) Information linkages among National, NSW, VIC, and QLD real estate markets in Australia. Accounting & Finance 61:2, pages 3207-3234.
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Chih-Chiang Wu, Wei-Peng Chen & Nattawadee Korsakul. (2021) Extreme linkages between foreign exchange and general financial markets. Pacific-Basin Finance Journal 65, pages 101462.
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Miklesh Prasad Yadav & Asheesh Pandey. (2020) Volatility Spillover Between Indian and MINT Stock Exchanges: Portfolio Diversification Implication. The Indian Economic Journal 67:3-4, pages 299-311.
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Ashley Ding. (2019) Information and volatility linkages across energy and financial markets. Australian Journal of Management 44:4, pages 594-613.
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Geoffrey M. Ngene, Yea Lee Kim & Jinghua Wang. (2019) Who poisons the pool? Time-varying asymmetric and nonlinear causal inference between low-risk and high-risk bonds markets. Economic Modelling 81, pages 136-147.
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Suparna Nandy (Pal)Arup Kr. Chattopadhyay. (2019) ‘Indian Stock Market Volatility’: A Study of Inter-linkages and Spillover Effects. Journal of Emerging Market Finance 18:2_suppl, pages S183-S212.
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Satish Kumar, Ashis Kumar Pradhan, Aviral Kumar Tiwari & Sang Hoon Kang. (2019) Correlations and volatility spillovers between oil, natural gas, and stock prices in India. Resources Policy 62, pages 282-291.
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Lin Mi & Allan Hodgson. (2018) Real estate's information and volatility links with stock, bond and money markets. Accounting & Finance 58:S1, pages 465-491.
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Marinela Adriana Finta, Bart Frijns & Alireza Tourani‐Rad. (2017) Contemporaneous Spillover Effects between the U.S. and the U.K. Equity Markets. Financial Review 52:1, pages 145-166.
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Syed Abul Basher & Perry Sadorsky. (2016) Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH. Energy Economics 54, pages 235-247.
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A.E. Clements, A.S. Hurn & V.V. Volkov. (2015) Volatility transmission in global financial markets. Journal of Empirical Finance 32, pages 3-18.
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Sofiane Aboura & Julien Chevallier. (2015) Volatility returns with vengeance: Financial markets vs. commodities. Research in International Business and Finance 33, pages 334-354.
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Perry Sadorsky. (2014) Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat. Energy Economics 43, pages 72-81.
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Perry Sadorsky. 2014. Emerging Markets and the Global Economy. Emerging Markets and the Global Economy 773 793 .
Christian Conrad & Enzo Weber. (2013) Measuring Persistence in Volatility Spillovers. SSRN Electronic Journal.
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Kunsuda Nimanussornkul, Chaiwat Nimanussornkul, Pairat Kanjanakaroon & Sukhoom Punnarong. (2009) Modeling Unemployment Volatility in the U.S., Europe, and Asia. SSRN Electronic Journal.
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