Subject Areas : Applied Economics
بهزاد فکاری سردهایی 1 , محمدرضا کهنسال 2 , سمیه ربانی 3
1 - دانشگاه فردوسی مشهد؛ کارشناس مرکز تحقیقات و نوآوری اتکا
2 - عضو هیئت علمی دانشگاه فردوسی مشهد
3 - دانش آموخته کارشناسی ارشد دانشگاه پیام نور واحد تهران
Keywords:
Abstract :
اشتیاقی، ک. 1391. اثرات سرریز نوسانات قیمت در بازارهای گوشت گوسفند استان آذربایجان شرقی. پایان‌نامه کارشناسی ارشد، دانشگاه تبریز.
سیر تاریخی بورس اوراق بهادار. 1389. مرکز توسعه نبوغ مالی.
شهرآبادی، الف. و بشیری، ن. 1389. مدیریت سرمایه‌گذاری در بورس اوراق بهادار. انتشارات سازمان بورس اوراق بهادار.
قانون بازار اوراق بهادار جمهوری اسلامی ایران. مصوب 1 آذر 1384
گزارش عملکرد بازار اوراق بهادار. 1391. معاونت بازار، اداره آمار و اطلاعات.
یکشنبه سیاه برای بورس اوراق بهادار تهران و هجوم سهامداران برای فروش/روزهای زیان‌ده بورس پایان می‌یابد؟. 1392. اقتصاد ایران آنلاین، کد: 220694
Bauwens L., Laurent S., V. K. Rombouts J. (2006). “Multivariate GARCH Models: a survey”, Journal of Applied Econometrics, No.29, pp.79-109.
Breusch, T.S. 1979. Testing for Autocorrelation in Dynamic Linear Models. Australian Economic Papers, 17: 334–355.
Brooks, C. 2002. Introductory econometrics for finance. New York: Cambridge University Press.
Chowdhury, A. R. 1994 Stock Market Interdependencies: Evidence from the Asian NIEs. Journal of Macroeconomics, 16, 629–651.
Dickey, D.A. and Fuller, W.A. 1979. Distribution of the Estimation for Autoregressive Time Series with a Unit Root. American Statistical Association, 74: 427-431.
Dubai Financial Market - Annual Report 2012
Engle F. R, Kroner, K.F. (1995). "Multivariate Simultaneous Generalized GARCH ". Econometric Theory 11: 122-150.
Engle R. 1982. Autoregressive conditional heteroscedasticity with estimates of the variance of U.K. inflation. Econometrica 50:987–1008
Ergun, U. and Shaari Mohd Nor, A.H. 2010. The stock market relationship between turkey and the united states under unionization. AAMJAF, Vol. 6, No. 2, 19–33.
Eun, C.S. and Shim, S. 1989 International transmission of stock market movements, The Journal of Financial and Quantitative Analysis, 24, 241-256.
Febrian, E and Herwany, A. 2008. Co-integration and causality among jakarta stock exchange, singapore stock exchange, and kuala lumpur stock exchange. The 4th UBAYA International Annual Symposium on Management Financial Strategies and Policies: Challenge of Tomorrow.
Flavin, T,J., Hurley, M.J. and Rousseau, F. 2015. Explaining Stock Market Correlation: A Gravity Model Approach. National University of Ireland, Maynooth, Money, Macro and Finance Conference
Glosten, L.R., Jaganathan, R. and Runkle, D. 1993. On the relation between the expected value and volatility of the normal excess return on stocks. Journal of finance, 48: 1779-1801.
Godfrey, L. G. 1988. Specification Tests in Econometrics. Cambridge: Cambridge University Press.
Goetzmann, W.N., Li, L. and Rouwenhorst, K.G. 2014. Long-Term Global Market Correlations. NBER WORKING PAPER SERIES, Working Paper 8612
http://borsaistanbul.com/
http://www.dfm.ae
http://www.irbourse.com/
Kim, H. 2010. Dynamic causal linkages between the US stock market and the stock markets of the East Asian economies. CESIS Electronic Working Paper Series, Paper No. 236.
King, M.A. and Wadhwani, S. 1990. ‘Transmission of Volatility between Stock Markets’, Review of Financial Studies, Vol. 3, pp. 5-33.
Li, Y and Giles, D.E. 2013. Modelling volatility spillover effects between developed stock markets and Asian emerging stock markets. Department of Economics, University of Victoria in its series Econometrics Working Papers with number 1301.
Longin, F. and Solnik, B. 1995. Is the Correlation in International Equity Returns Constant:1960-1990?, Journal of International Money and Finance,Vol.14, pp.3-26.
Neaime, S. 2012. The global financial crisis, financial linkages and correlations in returns and volatilities in emerging MENA stock markets. Emerging Markets Review, 13(3), 268-282.
YMKB 2011 Annual Report
Zakoian, J.M. 1994. Threshold heteroskedastic models. Journal of Economic dynamics and control, 18:931-944.
