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Applied Economics Letters Volume 11, 2004 - Issue 3
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Original Articles

International transmission of stock market movements: a wavelet analysis

Hahn Shik Lee
Pages 197-201 | Published online: 23 Aug 2006

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Chang Liu, Jianping Li, Xiaolei Sun & Jianming Chen. (2021) Multi-scale interactions between Turkish lira exchange rates and sovereign CDS in Europe and Asia. Applied Economics Letters 28:7, pages 599-607.
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Satish Kumar, Rajesh Pathak, Aviral Kumar Tiwari & Seong-Min Yoon. (2017) Are exchange rates interdependent? Evidence using wavelet analysis. Applied Economics 49:33, pages 3231-3245.
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Xiaojun Chu, Chongfeng Wu & Jianying Qiu. (2016) A nonlinear Granger causality test between stock returns and investor sentiment for Chinese stock market: a wavelet-based approach. Applied Economics 48:21, pages 1915-1924.
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B. Dima, Ş.M. Dima & F. Barna. (2015) A wavelet analysis of capital markets’ integration in Latin America. Applied Economics 47:10, pages 1019-1036.
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Chaker Aloui & Duc Khuong Nguyen. (2014) On the detection of extreme movements and persistent behaviour in Mediterranean stock markets: a wavelet-based approach. Applied Economics 46:22, pages 2611-2622.
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Po-Kai Huang. (2012) Volatility transmission across stock index futures when there are structural changes in return variance. Applied Financial Economics 22:19, pages 1603-1613.
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Chin Wen Cheong. (2011) Univariate and Multivariate Value-at-Risk: Application and Implication in Energy Markets. Communications in Statistics - Simulation and Computation 40:7, pages 957-977.
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Roger J. Bowden & Jennifer Zhu. (2010) Multi-scale variation, path risk and long-term portfolio management. Quantitative Finance 10:7, pages 783-796.
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Enzo Weber. (2010) Volatility and causality in Asia Pacific financial markets. Applied Financial Economics 20:16, pages 1269-1292.
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Ekaterini Panopoulou & Theologos Pantelidis. (2009) Integration at a cost: evidence from volatility impulse response functions. Applied Financial Economics 19:11, pages 917-933.
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Patricia Chelley-Steeley & Nikolaos Tsorakidis. (2009) Volatility changes in drachma exchange rates. Applied Financial Economics 19:11, pages 905-916.
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Ming-Yuan Leon Li. (2009) Multiple asymmetries in index stock returns from boom/bust and stable/volatile markets states- an empirical study of US and UK stock markets. Applied Economics Letters 16:2, pages 183-191.
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Yuan-Hung Hsu Ku. (2008) Student-t distribution based VAR-MGARCH: an application of the DCC model on international portfolio risk management. Applied Economics 40:13, pages 1685-1697.
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Giampiero M. Gallo & Edoardo Otranto. (2007) Volatility transmission across markets: a Multichain Markov Switching model. Applied Financial Economics 17:8, pages 659-670.
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Woo Suk Lee & Hahn S. Lee. (2022) Asymmetric volatility transmission across Northeast Asian stock markets. Borsa Istanbul Review 22:2, pages 341-351.
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Patrick M. M. Crowley. (2005) An Intuitive Guide to Wavelets for Economists. SSRN Electronic Journal.
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Ulkem Basdas. (2012) Interaction between MENA Stock Markets: A Comovement Wavelet Analysis. SSRN Electronic Journal.
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