Publication:
Contagion and interdependence across Asia-Pacific equity markets: an analysis based on multi-horizon discrete and continuous wavelet transformations
| DC Field | Value | |
|---|---|---|
| dc.contributor.author | Dewandaru, Ginanjar | |
| dc.contributor.author | Masih, Rumi | |
| dc.contributor.author | Mohammed Masih, Abul Mansur | |
| dc.date.accessioned | 2016-06-06 | |
| dc.date.accessioned | 2016-07-25T18:56:52Z | |
| dc.date.available | 2016-06-06 | |
| dc.date.available | 2016-07-25T18:56:52Z | |
| dc.date.disclosure | 2016-06-10 | |
| dc.date.issued | 2016 | |
| dc.description.abstract | Our study attempts to discover contagion amongst the Asia-Pacific equity markets (Japan, Hong Kong and Australia) during twelve major crises around the world. We apply both discrete and continuous wavelet decompositions to unveil the multi-horizon nature of co-movement and lead–lag relationship. We find that shocks were transmitted via excessive linkages, with the Asian crisis as the most influential in relation to a sudden stop. We also find that the subprime crisis revealed fundamentals-based contagion, due to the strengthening fundamental linkages, with a dominant role of the Japanese market. Finally, we find low co-movements in the short run, suggesting a partial convergence across the markets | |
| dc.identifier.citation | Dewandaru, Ginanjar and Masih, Rumi and Mohammed Masih, Abul Mansur. (2016). Contagion and interdependence across Asia-Pacific equity markets: an analysis based on multi-horizon discrete and continuous wavelet transformations. International Review of Economics & Finance, 43, pp. 363–377. | |
| dc.identifier.doi | doi:10.1016/j.iref.2016.01.002 | |
| dc.identifier.uri | https://ikr.inceif.edu.my/handle/INCEIF/1279 | |
| dc.language | English | |
| dc.language.iso | eng | |
| dc.publisher | Elsevier | |
| dc.rights | 2016. Elsevier | |
| dc.source | CRP | |
| dc.subject | Co-movement | |
| dc.subject | Shock transmission | |
| dc.subject | Financial crisis | |
| dc.subject | Contagion | |
| dc.subject | Wavelet analysis | |
| dc.title | Contagion and interdependence across Asia-Pacific equity markets: an analysis based on multi-horizon discrete and continuous wavelet transformations | |
| dc.type | Journal Article | |
| dlc.maintopic | Conventional finance | |
| dlc.subtopic | Economics | |
| dspace.entity.type | Publication | |
| ikr.doctype | Scholarly Works | |
| ikr.topic.maintopic | Conventional finance | |
| ikr.topic.subtopic | Conventional finance | |
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