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Connectedness among stocks and tail risk: Evidence from China

https://doi.org/10.1111/irfi.12320
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/0304-405x(89)90095-0openalex-snapshot
Business conditions and expected returns on stocks and bonds
inferredcites →https://doi.org/10.1016/0304-405x(93)90023-5openalex-snapshot
Common risk factors in the returns on stocks and bonds
inferredcites →https://doi.org/10.1016/j.finmar.2003.11.005openalex-snapshot
Market liquidity as a sentiment indicator
inferredcites →https://doi.org/10.1016/j.jfineco.2004.04.003openalex-snapshot
Comovement
inferredcites →https://doi.org/10.1016/j.jfineco.2013.01.003openalex-snapshot
The other side of value: The gross profitability premium
inferredcites →https://doi.org/10.1016/j.jfineco.2018.02.012openalex-snapshot
Choosing factors
inferredcites →https://doi.org/10.1016/s0304-405x(01)00066-6openalex-snapshot
Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices
inferredcites →https://doi.org/10.1017/s0022109018000121openalex-snapshot
Crash Sensitivity and the Cross Section of Expected Stock Returns
inferredcites →https://doi.org/10.1086/260061openalex-snapshot
Risk, Return, and Equilibrium: Empirical Tests
inferredcites →https://doi.org/10.1093/qje/qjs001openalex-snapshot
Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *
inferredcites →https://doi.org/10.1093/rapstu/rau006openalex-snapshot
Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?
inferredcites →https://doi.org/10.1093/rapstu/ray002openalex-snapshot
Aggregate Tail Risk and Expected Returns
inferredcites →https://doi.org/10.1093/rfs/hhj025openalex-snapshot
Asset Pricing Models and Financial Market Anomalies
inferredcites →https://doi.org/10.1093/rfs/hhj035openalex-snapshot
Downside Risk
inferredcites →https://doi.org/10.1093/rfs/hhu039openalex-snapshot
Tail Risk and Asset Prices
inferredcites →https://doi.org/10.1093/rfs/hhv042openalex-snapshot
Information, Analysts, and Stock Return Comovement
inferredcites →https://doi.org/10.1093/rfs/hhw026openalex-snapshot
Commonality in Liquidity: A Demand-Side Explanation
inferredcites →https://doi.org/10.1111/0022-1082.00285openalex-snapshot
The Equity Share in New Issues and Aggregate Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1991.tb03743.xopenalex-snapshot
The Long‐Run Performance of initial Public Offerings
inferredcites →https://doi.org/10.1111/j.1540-6261.1991.tb03746.xopenalex-snapshot
Investor Sentiment and the Closed‐End Fund Puzzle
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00658.xopenalex-snapshot
A Catering Theory of Dividends
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00885.xopenalex-snapshot
Investor Sentiment and the Cross‐Section of Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2010.01628.xopenalex-snapshot
Stock Market Liquidity and the Business Cycle
inferredcites →https://doi.org/10.1111/jofi.12110openalex-snapshot
Volatility, the Macroeconomy, and Asset Prices
inferredcites →https://doi.org/10.1111/jofi.12149openalex-snapshot
Connected Stocks
inferredcites →https://doi.org/10.1111/jofi.12699openalex-snapshot
Does Herding Behavior Reveal Skill? An Analysis of Mutual Fund Performance
inferredcites →https://doi.org/10.1111/jofi.12754openalex-snapshot
Sentiment Metrics and Investor Demand
inferredcites →https://doi.org/10.1162/qjec.121.3.823openalex-snapshot
Rare Disasters and Asset Markets in the Twentieth Century*
inferredcites →https://doi.org/10.2307/1913610openalex-snapshot
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.4657119openalex-extracted
The ‘Short-Run’ Impact of Expectations’ Past Volatility on the Current Predictions of Investors. The Case of VIX
inferred← citeshttps://doi.org/10.1016/j.eap.2025.11.006openalex-snapshot
How does geopolitical risk affect tail risk contagion in global stock markets༟
inferred← citeshttps://doi.org/10.1016/j.intfin.2024.102084openalex-snapshot
The short-run impact of investor expectations’ past volatility on current predictions: The case of VIX
inferred← citeshttps://doi.org/10.1016/j.jbef.2024.100934openalex-snapshot
Salience theory, investor sentiment, and commonality in sentiment: Evidence from the Chinese stock market
inferred← citeshttps://doi.org/10.1111/ajfs.12420openalex-snapshot
Extreme Liquidity Risk and the Cross‐Section of Expected Returns: Evidence from China*
inferred← citeshttps://doi.org/10.1111/irfi.12441openalex-snapshot
Analyzing time‐varying tail dependence between leveraged loan and debt markets in the U.S. economy
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