Roll, Richard, 1989, Price volatility, international market links, and their implications for regulatory policies, Journal of Financial Services Research 3, 211-246. Home/Search Document Not in Database Summary Related Articles Check |
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Volatility Spillovers Across Equity Markets: European Evidence - Kanas (1998) Self-citation (Roll) (Correct)
....(1989##CITEEND##, p. 221) Jeon and Chiang (1991) #Several studies have also examined stock market interdependencies using cointegration and Granger causality methods. These include Taylor and Tonks (1989) Mathur and Subrahmanyam (1990) Eun and Shim (1989) Malliaris and Urrutia (1992) and Gallagher (1995) ....
....e#ect. ##For a discussion of the introduction of the automated trading systems in London, Frankfurt and Paris, see Bank of England Quarterly Bulletin (1989, p. 527) ##See Roell (1992, p. 172) ##See Bradley (1992) London in the late 1980s and early 1990s. ## This conclusion is supported by Roll (1989) and Jeon and Chiang (1991) who argue that market deregulation and improvement in electronic coordination across stock markets increase interdependence. Secondly, London has emerged, during the post crash period, as the more influential market in terms of volatility spillovers. This could in part ....
Roll, R. (1989) Price volatility, international market links, and their implications for regulatory policies, Journal of Financial Services Research, 3, 211---46.
Securities Transaction Taxes And Financial Markets - Habermeier, Kirilenko (2000) (1 citation) (Correct)
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Roll, Richard, 1989, Price volatility, international market links, and their implications for regulatory policies, Journal of Financial Services Research 3, 211-246.
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