{"id":"https://openalex.org/W2313023581","doi":"https://doi.org/10.1080/00036846.2016.1145349","title":"Dynamic correlation and equicorrelation analysis of global financial turmoil: evidence from emerging East Asian stock markets","display_name":"Dynamic correlation and equicorrelation analysis of global financial turmoil: evidence from emerging East Asian stock markets","publication_year":2016,"publication_date":"2016-03-16","ids":{"openalex":"https://openalex.org/W2313023581","doi":"https://doi.org/10.1080/00036846.2016.1145349","mag":"2313023581"},"language":"en","primary_location":{"id":"doi:10.1080/00036846.2016.1145349","doi":"https://doi.org/10.1080/00036846.2016.1145349","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00036846.2016.1145349","pdf_url":null,"source":{"id":"https://openalex.org/S201533460","display_name":"Applied Economics","issn_l":"0003-6846","issn":["0003-6846","1466-4283"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-40","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Economics","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5030243546","display_name":"Xiao Jing Cai","orcid":"https://orcid.org/0009-0006-5908-3850","observed_orcids":["https://orcid.org/0009-0006-5908-3850"]},"institutions":[{"id":"https://openalex.org/I65837984","display_name":"Kobe University","ror":"https://ror.org/03tgsfw79","country_code":"JP","type":"education","lineage":["https://openalex.org/I65837984"]}],"countries":["JP"],"is_corresponding":false,"raw_author_name":"Xiao Jing Cai","raw_affiliation_strings":["Graduate School of Economics, Kobe University, Kobe, Japan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Graduate School of Economics, Kobe University, Kobe, Japan","institution_ids":["https://openalex.org/I65837984"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5047789390","display_name":"Shuairu Tian","orcid":"https://orcid.org/0000-0001-8387-5600","observed_orcids":["https://orcid.org/0000-0001-8387-5600"]},"institutions":[{"id":"https://openalex.org/I65837984","display_name":"Kobe University","ror":"https://ror.org/03tgsfw79","country_code":"JP","type":"education","lineage":["https://openalex.org/I65837984"]}],"countries":["JP"],"is_corresponding":false,"raw_author_name":"Shuairu Tian","raw_affiliation_strings":["Graduate School of Economics, Kobe University, Kobe, Japan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Graduate School of Economics, Kobe University, Kobe, Japan","institution_ids":["https://openalex.org/I65837984"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5007913012","display_name":"Shigeyuki Hamori","orcid":"https://orcid.org/0000-0003-1498-0188","observed_orcids":["https://orcid.org/0000-0003-1498-0188"]},"institutions":[{"id":"https://openalex.org/I65837984","display_name":"Kobe University","ror":"https://ror.org/03tgsfw79","country_code":"JP","type":"education","lineage":["https://openalex.org/I65837984"]}],"countries":["JP"],"is_corresponding":true,"raw_author_name":"Shigeyuki Hamori","raw_affiliation_strings":["Faculty of Economics, Kobe University, Kobe, Japan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Faculty of Economics, Kobe University, Kobe, Japan","institution_ids":["https://openalex.org/I65837984"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5007913012"],"corresponding_institution_ids":["https://openalex.org/I65837984"],"apc_list":null,"apc_paid":null,"fwci":1.0196,"has_fulltext":false,"cited_by_count":17,"citation_normalized_percentile":{"value":0.81130677,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":98},"biblio":{"volume":"48","issue":"40","first_page":"3789","last_page":"3803"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.0003000000142492354,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10503","display_name":"Global Financial Crisis and Policies","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/dynamic-conditional-correlation","display_name":"dynamic conditional correlation","score":0.9309999942779541},{"id":"https://openalex.org/keywords/2008-financial-crisis","display_name":"2008 financial crisis","score":0.8550000190734863},{"id":"https://openalex.org/keywords/stock-market-contagion","display_name":"stock market contagion","score":0.8619999885559082},{"id":"https://openalex.org/keywords/us-stock-market","display_name":"US stock market","score":0.9200000166893005},{"id":"https://openalex.org/keywords/herding-behavior","display_name":"herding behavior","score":0.6940000057220459},{"id":"https://openalex.org/keywords/exogenous-variables","display_name":"exogenous variables","score":0.8479999899864197},{"id":"https://openalex.org/keywords/vix-index","display_name":"VIX index","score":0.9639999866485596},{"id":"https://openalex.org/keywords/ted-spread","display_name":"TED spread","score":0.8980000019073486}],"concepts":[{"id":"https://openalex.org/C177605951","wikidata":"https://www.wikidata.org/wiki/Q1484503","display_name":"Herding","level":2,"score":0.6905629634857178},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6385014057159424},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.635326087474823},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6101581454277039},{"id":"https://openalex.org/C88389905","wikidata":"https://www.wikidata.org/wiki/Q223371","display_name":"Stock market index","level":4,"score":0.6019960045814514},{"id":"https://openalex.org/C2778300220","wikidata":"https://www.wikidata.org/wiki/Q114380","display_name":"Financial crisis","level":2,"score":0.5957084894180298},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.5897253751754761},{"id":"https://openalex.org/C121087249","wikidata":"https://www.wikidata.org/wiki/Q546395","display_name":"Emerging markets","level":2,"score":0.5836576223373413},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.5807960629463196},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.55158931016922},{"id":"https://openalex.org/C21430997","wikidata":"https://www.wikidata.org/wiki/Q5159279","display_name":"Conditional variance","level":4,"score":0.4692307114601135},{"id":"https://openalex.org/C2778890369","wikidata":"https://www.wikidata.org/wiki/Q499041","display_name":"Financial contagion","level":3,"score":0.4551222324371338},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4459300637245178},{"id":"https://openalex.org/C2777606061","wikidata":"https://www.wikidata.org/wiki/Q16991115","display_name":"Tail dependence","level":3,"score":0.42737501859664917},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.42451730370521545},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1872878074645996},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.1692788302898407},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.13178229331970215},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.1285431981086731},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.08632361888885498},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.06653589010238647},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.0},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0},{"id":"https://openalex.org/C97137747","wikidata":"https://www.wikidata.org/wiki/Q38112","display_name":"Forestry","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1080/00036846.2016.1145349","doi":"https://doi.org/10.1080/00036846.2016.1145349","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00036846.2016.1145349","pdf_url":null,"source":{"id":"https://openalex.org/S201533460","display_name":"Applied Economics","issn_l":"0003-6846","issn":["0003-6846","1466-4283"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-40","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Economics","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:taf:applec:v:48:y:2016:i:40:p:3789-3803","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1080/00036846.2016.1145349","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[{"id":"https://openalex.org/G5269206002","display_name":null,"funder_award_id":"(C) 25380267","funder_id":"https://openalex.org/F4320334764","funder_display_name":"Japan Society for the Promotion of Science"},{"id":"https://openalex.org/G591659494","display_name":"Econometric Analysis of Interdependence of High Order Moments","funder_award_id":"25380267","funder_id":"https://openalex.org/F4320334764","funder_display_name":"Japan Society for the Promotion of Science"}],"funders":[{"id":"https://openalex.org/F4320334764","display_name":"Japan Society for the Promotion of Science","ror":"https://ror.org/00hhkn466"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":34,"referenced_works":["https://openalex.org/W104899527","https://openalex.org/W1550430408","https://openalex.org/W1727659491","https://openalex.org/W1968021619","https://openalex.org/W1986522107","https://openalex.org/W1991740147","https://openalex.org/W1996655716","https://openalex.org/W1999029409","https://openalex.org/W2003523827","https://openalex.org/W2021604287","https://openalex.org/W2029239181","https://openalex.org/W2062449769","https://openalex.org/W2070437839","https://openalex.org/W2111682960","https://openalex.org/W2118360058","https://openalex.org/W2121063391","https://openalex.org/W2144311492","https://openalex.org/W2788622070","https://openalex.org/W2890067203","https://openalex.org/W3021709961","https://openalex.org/W3048634280","https://openalex.org/W3121630491","https://openalex.org/W3122186884","https://openalex.org/W3122528987","https://openalex.org/W3122700264","https://openalex.org/W3124124033","https://openalex.org/W3124139787","https://openalex.org/W3124156309","https://openalex.org/W3125092579","https://openalex.org/W4237832877","https://openalex.org/W4244626326","https://openalex.org/W4245672766","https://openalex.org/W4253163276","https://openalex.org/W4254337671"],"related_works":["https://openalex.org/W2062449769","https://openalex.org/W340203226","https://openalex.org/W2170385322","https://openalex.org/W2019903543","https://openalex.org/W104899527","https://openalex.org/W2118360058","https://openalex.org/W4251298737","https://openalex.org/W2080372065","https://openalex.org/W1552730392","https://openalex.org/W2066357546"],"abstract_inverted_index":{"This":[0],"study":[1],"investigates":[2],"the":[3,16,22,36,42,46,58,63,82,86,119,129,133,144,154,158,161,166,184,195],"dynamic":[4,23,109],"conditional":[5,37,134,145,162,191],"correlations":[6,38,77,135,146],"(DCCs)":[7],"between":[8],"eight":[9],"emerging":[10,64,149],"East":[11,65,150],"Asian":[12,66,151],"stock":[13,18,28,60],"markets":[14],"and":[15,20,39,78,106,136,168,173],"US":[17,59],"market":[19,61],"analyses":[21],"equicorrelation":[24,40,79,110],"among":[25],"these":[26],"nine":[27],"markets.":[29,67],"We":[30,50,68,123,156,181],"find":[31,70,124,182],"a":[32,178],"significant":[33,73],"increase":[34,127],"in":[35,41,81,128,140],"first":[43],"phase":[44,84],"of":[45,75,85,121,147,160,165],"global":[47,87],"financial":[48,88],"crisis.":[49,89],"refer":[51],"to":[52,62,117],"this":[53],"finding":[54],"as":[55],"contagion":[56],"from":[57,203],"also":[69],"an":[71,126],"additional":[72,201],"process":[74],"increasing":[76],"(herding)":[80],"second":[83],"Further,":[90],"we":[91],"employ":[92],"two":[93],"new":[94],"models,":[95],"namely":[96],"DCCX-MGARCH":[97],"(a":[98,108],"DCC":[99,167,196],"Multivariate":[100],"GARCH":[101,112],"model":[102,113,187,198],"with":[103,114,153],"exogenous":[104,115,204],"variables)":[105],"DECOX-MGARCH":[107],"multivariate":[111],"variables),":[116],"identify":[118],"channels":[120],"contagion.":[122],"that":[125,183],"VIX":[130],"Index":[131],"increases":[132,139],"equicorrelation,":[137],"while":[138],"TED":[141],"spreads":[142],"decrease":[143],"six":[148],"countries":[152],"USA.":[155],"compare":[157],"accuracy":[159],"correlation":[163,192],"estimates":[164,193],"DCCX":[169,185],"models":[170],"(or":[171],"DECO":[172],"DECOX":[174],"models)":[175],"by":[176,199],"constructing":[177],"loss":[179],"function.":[180],"(DECOX)":[186],"provides":[188],"more":[189],"accurate":[190],"than":[194],"(DECO)":[197],"extracting":[200],"information":[202],"variables.":[205]},"counts_by_year":[{"year":2026,"cited_by_count":4},{"year":2025,"cited_by_count":2},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":1},{"year":2016,"cited_by_count":1}],"updated_date":"2026-11-10T11:39:43.021295","created_date":"2016-06-24T00:00:00"}