How to cite this paper
Zarezade, R., Ghousi, G & Mohammadi, E. (2024). Spillover effects of volatility between the Chinese stock market and selected emerging economies in the middle east: A conditional correlation analysis with portfolio optimization perspective.Accounting, 10(2), 97-106.
Refrences
Abbas, Q., Khan, S., & Shah, S. Z. A. (2013). Volatility transmission in regional Asian stock markets. Emerging Markets Review, 16, 66-77.
Abou-Zaid, A. S. (2011). Volatility spillover effects in emerging MENA stock markets. Review of Applied Economics.
Ahmed, S., Coulibaly, B., & Zlate, A. (2017). International financial spillovers to emerging market economies: How important are economic fundamentals? Journal of International Money and Finance, 76, 133-152.
Baele, L. (2005). Volatility spillover effects in European equity markets. Journal of Financial and Quantitative Analysis, 40(2), 373-401.
Balli, F., Hajhoj, H. R., Basher, S. A., & Ghassan, H. B. (2015). An analysis of returns and volatility spillovers and their determinants in emerging Asian and Middle Eastern countries. International Review of Economics & Finance, 39, 311-325.
Beirne, J., Caporale, G. M., Schulze-Ghattas, M., & Spagnolo, N. (2010). Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis. Emerging Markets Review, 11(3), 250-260.
Beirne, J., Caporale, G. M., Schulze‐Ghattas, M., & Spagnolo, N. (2013). Volatility spillovers and contagion from mature to emerging stock markets. Review of International Economics.
Bekaert, G. (1995). Market integration and investment barriers in emerging equity markets. The World Bank Economic Review, 9(1), 75-107.
Bekaert, G., & Harvey, C. R. (1997). Emerging equity market volatility. Journal of Financial economics, 43(1), 29-77.
Bekk, R. (1995). Cosmic consciousness. Moscow, Odissey.
Bollerslev, T., Engle, R. F., & Wooldridge, J. M. (1988). A capital asset pricing model with time-varying covariances. Journal of political Economy, 96(1), 116-131.
Brana, S., Djigbenou, M.-L., & Prat, S. (2012). Global excess liquidity and asset prices in emerging countries: A PVAR approach. Emerging Markets Review, 13(3), 256-267.
Chang, C., & Tsay, R. S. (2010). Estimation of covariance matrix via the sparse Cholesky factor with lasso. Journal of Statistical Planning and Inference, 140(12), 3858-3873.
Chkili, W. (2012). The dynamic relationship between exchange rates and stock returns in emerging countries: volatility spillover and portfolio management. International Journal of Management Science and Engineering Management, 7(4), 253-262.
Delios, A., & Henisz, W. I. (2000). Japanese firms' investment strategies in emerging economies. Academy of Management journal, 43(3), 305-323.
Dimitriou, D., Kenourgios, D., & Simos, T. (2013). Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach. International Review of Financial Analysis, 30, 46-56.
Engle III, R. F., Ito, T., & Lin, W.-L. (1988). Meteor showers or heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market. In: National Bureau of Economic Research Cambridge, Mass., USA.
Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the econometric society, 987-1007.
Engle, R. F., Ng, V. K., & Rothschild, M. (1990). Asset pricing with a factor-ARCH covariance structure: Empirical estimates for treasury bills. Journal of econometrics, 45(1-2), 213-237.
Ghousi, R. (2015). Applying a decision support system for accident analysis by using data mining approach: A case study on one of the Iranian manufactures. Journal of Industrial and Systems Engineering, 8(3), 59-76.
Graham, M., Kiviaho, J., & Nikkinen, J. (2012). Integration of 22 emerging stock markets: A three-dimensional analysis. Global Finance Journal, 23(1), 34-47.
Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: journal of the Econometric Society, 424-438.
Gulzar, S., Mujtaba Kayani, G., Xiaofen, H., Ayub, U., & Rafique, A. (2019). Financial cointegration and spillover effect of global financial crisis: A study of emerging Asian financial markets. Economic research-Ekonomska istraživanja,187-218 ,(1)32 .
Gupta, R., & Guidi, F. (2012). Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets. International Review of Financial Analysis, 21, 10-22.
Hoseini Ebrahimabad, S. A., Heidari, H., Jahangiri, K., & Ghaemi Asl, M. (2019). Using Bayesian Approach to Study the Time Varying Correlation among Selected Indices of Tehran Stock Exchange. Financial Research Journal, 21(1), 59-78.
Huang, B.-N., Yang, C.-W., & Hu, J. W.-S. (2000). Causality and cointegration of stock markets among the United States, Japan and the South China Growth Triangle. International Review of Financial Analysis, 9(3), 281-297.
Huang, Y., Su, W., & Li, X. (2010). Comparison of BEKK GARCH and DCC GARCH models: An empirical study. Advanced Data Mining and Applications: 6th International Conference, ADMA 2010, Chongqing, China, November 19-21, 2010, Proceedings, Part II 6,
Investing.com. https://www.investing.com/
Jafari, M., Shakeri, A., & Mohammadi, T. (2018). Impact of fluctuations in financial markets on oil prices and Iran's economic security. Strategic Studies Quarterly, 21(80), 101-134.
Li, Y., & Giles, D. E. (2015). Modelling volatility spillover effects between developed stock markets and Asian emerging stock markets. International Journal of Finance & Economics, 20(2), 155-177.
Lin, W.-L., Engle, R. F., & Ito, T. (1994). Do bulls and bears move across borders? International transmission of stock returns and volatility. Review of financial studies, 7(3), 507-538.
Lucey, B. M., & Zhang, Q. (2010). Does cultural distance matter in international stock market comovement? Evidence from emerging economies around the world. Emerging Markets Review, 11(1), 62-78.
Majdoub, J., & Mansour, W. (2014). Islamic equity market integration and volatility spillover between emerging and US stock markets. The North American Journal of Economics and Finance, 29, 452-470.
Ng, A. (2000). Volatility spillover effects from Japan and the US to the Pacific–Basin. Journal of international money and finance, 19(2), 207-233.
Pandey, A., Singh, R., & Verma, V. (1982). Synthesis of N, N-disubstituted 3-oxo-2-phenyl-2, 3-dihydro-1, 2, 4-thiadiazoles: oxidative debenzylation and cyclization of 1, 1, 5-trisubstituted S-benzyl-2-thioisobiurets. Synthesis, 1982(12), 1068-1070.
Stoian, C. (2013). Extending Dunning's Investment Development Path: The role of home country institutional determinants in explaining outward foreign direct investment. International Business Review, 22(3), 615-637.
Touni, Z., Makui, A., & Mohammadi, E. (2019). A MCDM-based approach using UTA-STRAR method to discover behavioral aspects in stock selection problem. International Journal of Industrial Engineering and Production Research, 30(1), 93-103.
Yadav, M. P., Sharma, S., & Bhardwaj, I. (2023). Volatility spillover between Chinese stock market and selected emerging economies: a dynamic conditional correlation and portfolio optimization perspective. Asia-Pacific Financial Markets, 30(2), 427-444.
Yin, K., Liu, Z., & Jin, X. (2020). Interindustry volatility spillover effects in China’s stock market. Physica A: Statistical Mechanics and its Applications, 539, 122936.
Abou-Zaid, A. S. (2011). Volatility spillover effects in emerging MENA stock markets. Review of Applied Economics.
Ahmed, S., Coulibaly, B., & Zlate, A. (2017). International financial spillovers to emerging market economies: How important are economic fundamentals? Journal of International Money and Finance, 76, 133-152.
Baele, L. (2005). Volatility spillover effects in European equity markets. Journal of Financial and Quantitative Analysis, 40(2), 373-401.
Balli, F., Hajhoj, H. R., Basher, S. A., & Ghassan, H. B. (2015). An analysis of returns and volatility spillovers and their determinants in emerging Asian and Middle Eastern countries. International Review of Economics & Finance, 39, 311-325.
Beirne, J., Caporale, G. M., Schulze-Ghattas, M., & Spagnolo, N. (2010). Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis. Emerging Markets Review, 11(3), 250-260.
Beirne, J., Caporale, G. M., Schulze‐Ghattas, M., & Spagnolo, N. (2013). Volatility spillovers and contagion from mature to emerging stock markets. Review of International Economics.
Bekaert, G. (1995). Market integration and investment barriers in emerging equity markets. The World Bank Economic Review, 9(1), 75-107.
Bekaert, G., & Harvey, C. R. (1997). Emerging equity market volatility. Journal of Financial economics, 43(1), 29-77.
Bekk, R. (1995). Cosmic consciousness. Moscow, Odissey.
Bollerslev, T., Engle, R. F., & Wooldridge, J. M. (1988). A capital asset pricing model with time-varying covariances. Journal of political Economy, 96(1), 116-131.
Brana, S., Djigbenou, M.-L., & Prat, S. (2012). Global excess liquidity and asset prices in emerging countries: A PVAR approach. Emerging Markets Review, 13(3), 256-267.
Chang, C., & Tsay, R. S. (2010). Estimation of covariance matrix via the sparse Cholesky factor with lasso. Journal of Statistical Planning and Inference, 140(12), 3858-3873.
Chkili, W. (2012). The dynamic relationship between exchange rates and stock returns in emerging countries: volatility spillover and portfolio management. International Journal of Management Science and Engineering Management, 7(4), 253-262.
Delios, A., & Henisz, W. I. (2000). Japanese firms' investment strategies in emerging economies. Academy of Management journal, 43(3), 305-323.
Dimitriou, D., Kenourgios, D., & Simos, T. (2013). Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach. International Review of Financial Analysis, 30, 46-56.
Engle III, R. F., Ito, T., & Lin, W.-L. (1988). Meteor showers or heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market. In: National Bureau of Economic Research Cambridge, Mass., USA.
Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the econometric society, 987-1007.
Engle, R. F., Ng, V. K., & Rothschild, M. (1990). Asset pricing with a factor-ARCH covariance structure: Empirical estimates for treasury bills. Journal of econometrics, 45(1-2), 213-237.
Ghousi, R. (2015). Applying a decision support system for accident analysis by using data mining approach: A case study on one of the Iranian manufactures. Journal of Industrial and Systems Engineering, 8(3), 59-76.
Graham, M., Kiviaho, J., & Nikkinen, J. (2012). Integration of 22 emerging stock markets: A three-dimensional analysis. Global Finance Journal, 23(1), 34-47.
Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: journal of the Econometric Society, 424-438.
Gulzar, S., Mujtaba Kayani, G., Xiaofen, H., Ayub, U., & Rafique, A. (2019). Financial cointegration and spillover effect of global financial crisis: A study of emerging Asian financial markets. Economic research-Ekonomska istraživanja,187-218 ,(1)32 .
Gupta, R., & Guidi, F. (2012). Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets. International Review of Financial Analysis, 21, 10-22.
Hoseini Ebrahimabad, S. A., Heidari, H., Jahangiri, K., & Ghaemi Asl, M. (2019). Using Bayesian Approach to Study the Time Varying Correlation among Selected Indices of Tehran Stock Exchange. Financial Research Journal, 21(1), 59-78.
Huang, B.-N., Yang, C.-W., & Hu, J. W.-S. (2000). Causality and cointegration of stock markets among the United States, Japan and the South China Growth Triangle. International Review of Financial Analysis, 9(3), 281-297.
Huang, Y., Su, W., & Li, X. (2010). Comparison of BEKK GARCH and DCC GARCH models: An empirical study. Advanced Data Mining and Applications: 6th International Conference, ADMA 2010, Chongqing, China, November 19-21, 2010, Proceedings, Part II 6,
Investing.com. https://www.investing.com/
Jafari, M., Shakeri, A., & Mohammadi, T. (2018). Impact of fluctuations in financial markets on oil prices and Iran's economic security. Strategic Studies Quarterly, 21(80), 101-134.
Li, Y., & Giles, D. E. (2015). Modelling volatility spillover effects between developed stock markets and Asian emerging stock markets. International Journal of Finance & Economics, 20(2), 155-177.
Lin, W.-L., Engle, R. F., & Ito, T. (1994). Do bulls and bears move across borders? International transmission of stock returns and volatility. Review of financial studies, 7(3), 507-538.
Lucey, B. M., & Zhang, Q. (2010). Does cultural distance matter in international stock market comovement? Evidence from emerging economies around the world. Emerging Markets Review, 11(1), 62-78.
Majdoub, J., & Mansour, W. (2014). Islamic equity market integration and volatility spillover between emerging and US stock markets. The North American Journal of Economics and Finance, 29, 452-470.
Ng, A. (2000). Volatility spillover effects from Japan and the US to the Pacific–Basin. Journal of international money and finance, 19(2), 207-233.
Pandey, A., Singh, R., & Verma, V. (1982). Synthesis of N, N-disubstituted 3-oxo-2-phenyl-2, 3-dihydro-1, 2, 4-thiadiazoles: oxidative debenzylation and cyclization of 1, 1, 5-trisubstituted S-benzyl-2-thioisobiurets. Synthesis, 1982(12), 1068-1070.
Stoian, C. (2013). Extending Dunning's Investment Development Path: The role of home country institutional determinants in explaining outward foreign direct investment. International Business Review, 22(3), 615-637.
Touni, Z., Makui, A., & Mohammadi, E. (2019). A MCDM-based approach using UTA-STRAR method to discover behavioral aspects in stock selection problem. International Journal of Industrial Engineering and Production Research, 30(1), 93-103.
Yadav, M. P., Sharma, S., & Bhardwaj, I. (2023). Volatility spillover between Chinese stock market and selected emerging economies: a dynamic conditional correlation and portfolio optimization perspective. Asia-Pacific Financial Markets, 30(2), 427-444.
Yin, K., Liu, Z., & Jin, X. (2020). Interindustry volatility spillover effects in China’s stock market. Physica A: Statistical Mechanics and its Applications, 539, 122936.