Journal ArticleDOI
Tests of Financial Market Contagion: Evolutionary Cospectral Analysis Versus Wavelet Analysis
Reads0
Chats0
TLDR
In this article, the co-movements dynamics between OCDE countries with the US and Europe with respect to time and frequency were examined using evolutionary co-spectral analysis and wavelet analysis.Abstract:
This paper examines the co-movements dynamics between OCDE countries with the US and Europe. The core focus is to suggest advantageous techniques allowing the investigation with respect to time and frequency, namely evolutionary co-spectral analysis and wavelet analysis. Our study puts in evidence the existence of both long run and short-run co-movements. Both interdependence and contagion are well identified across markets; but with slight differences. Both investors and policymakers can derive worthwhile information from this research. Recognizing countries sensitivity to permanent and transitory shocks enables investors to select rational investment strategies. Similarly, policymakers can make safe crisis management policies.read more
Citations
More filters
Journal ArticleDOI
Extreme dependence and risk spillovers between oil and Islamic stock markets
Syed Jawad Hussain Shahzad,Walid Mensi,Walid Mensi,Shawkat Hammoudeh,Mobeen Ur Rehman,Khamis Hamed Al-Yahyaee +5 more
TL;DR: In this article, the authors examined the downside and upside risk spillovers and dependence structure between five Islamic stock markets (the Islamic Market World index, Islamic indices of USA, UK, Japan and the Islamic Financials sector index) which are of paramount importance for faith-oriented investors and particpants in the oil market.
Journal ArticleDOI
Contagion among major world markets: a wavelet approach
TL;DR: In this paper, the authors examine contagion among the major world markets during the last 25 years and propose a new way to analyze contagion with wavelet methods, which uses a novel way to study contagion using wavelet method.
Journal ArticleDOI
Correlations between oil and stock markets: a wavelet-based approach
TL;DR: In this paper, the impact of oil shocks and stock market crashes on correlations between stock and oil markets was investigated and the authors found evidence of contagion, in particular during the 2008 and 2011 stock market falls.
Journal ArticleDOI
Dynamic cross-correlation and dynamic contagion of stock markets: a sliding windows approach with the DCCA correlation coefficient
TL;DR: In this article, a sliding windows approach based on the detrended cross-correlation analysis correlation coefficient is proposed for continuous evaluation of the crosscorrelations between markets, which allows dynamic analysis of the evolution of cross correlations and also continuous analysis of contagion effect.
Journal ArticleDOI
Is China a source of financial contagion
TL;DR: This article examined the role China plays compared with the US in transmitting contagion to South Asia and found that trade intensity, economic downturns, and negative net equity capital outflows positively influence dynamic conditional correlations between South Asian and US/Chinese financial stock returns.
References
More filters
Journal ArticleDOI
Capital asset prices: a theory of market equilibrium under conditions of risk*
TL;DR: In this paper, the authors present a body of positive microeconomic theory dealing with conditions of risk, which can be used to predict the behavior of capital marcets under certain conditions.
Journal ArticleDOI
A Practical Guide to Wavelet Analysis.
TL;DR: In this article, a step-by-step guide to wavelet analysis is given, with examples taken from time series of the El Nino-Southern Oscillation (ENSO).
Book ChapterDOI
The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets
TL;DR: In this article, the problem of selecting optimal security portfolios by risk-averse investors who have the alternative of investing in risk-free securities with a positive return or borrowing at the same rate of interest and who can sell short if they wish is discussed.
Journal ArticleDOI
The arbitrage theory of capital asset pricing
TL;DR: Ebsco as mentioned in this paper examines the arbitrage model of capital asset pricing as an alternative to the mean variance pricing model introduced by Sharpe, Lintner and Treynor.
Journal Article
Spectral Analysis and Time Series
TL;DR: In this article, the authors introduce the concept of Stationary Random Processes and Spectral Analysis in the Time Domain and Frequency Domain, and present an analysis of Processes with Mixed Spectra.