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Regional spillovers across transitioning emerging and frontier equity markets: a multi-time scale wavelet analysis

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dc.contributor.authorGinanjar Dewandaru
dc.contributor.authorRumi Masih
dc.contributor.authorAbul Mansur Mohammed Masih
dc.date.accessioned2017-10-20T07:32:01Z
dc.date.available2017-10-20T07:32:01Z
dc.date.issued2017
dc.description.abstractThe episodic wave of crises experienced across the global financial markets over the past two decades has raised questions surrounding the vulnerability of transitioning emerging and frontier equity markets to exogenous shocks. These markets, by design, have lacked the institutional or financial architecture supporting their capital base compared to more established markets. We make the initial attempt to examine four such stock markets (Saudi Arabia, UAE, South Africa and Israel). We perform multi-timescale analysis using wavelet-based time and frequency decompositions in order to investigate (i) whether the shocks transmitted were pure contagion or fundamental-based and (ii) also whether the dynamic evolution of stock market integration was mainly shortterm or long-term. We find that prior to the 2008/09 US subprime crisis, the shocks generated pure contagion in contrast to the subprime crisis that reveals evidence supportive of fundamental-based contagion. Further, when exploring the dynamics of market integration, we find that integration strengthens over time as opposed to any immediate short-term outcome. This supports policies engendered to promote stock market resiliency and stability.en_US
dc.identifier.citationDewandaru, G., Masih, R., & Mohammed Masih, A. M. (2017). Regional spillovers across transitioning emerging and frontier equity markets: a multi-time scale wavelet analysis. Economic Modelling, 65, 30-40. https://doi.org/10.1016/j.econmod.2017.04.026en_US
dc.identifier.doihttps://doi.org/10.1016/j.econmod.2017.04.026
dc.identifier.issn0264-9993
dc.identifier.urihttps://ikr.inceif.edu.my/handle/INCEIF/2706
dc.languageEnglish
dc.language.isoengen_US
dc.publisherElsevieren_US
dc.rights2017. Elsevier
dc.sourceSEDONA
dc.subjectContagionen_US
dc.subjectIntegrationen_US
dc.subjectMiddle East and South African stock marketsen_US
dc.subjectWaveletsen_US
dc.titleRegional spillovers across transitioning emerging and frontier equity markets: a multi-time scale wavelet analysisen_US
dc.typeJournal Articleen_US
dlc.maintopicConventional financeen_US
dlc.subtopicConventional finance::Capital marketsen_US
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicConventional financeen_US
ikr.topic.subtopicConventional finance::Capital marketsen_US
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