490
Views
2
CrossRef citations to date
0
Altmetric
Articles

Has co-movement dynamics in emerging stock markets changed after global financial crisis? New evidence from wavelet analysis

ORCID Icon, ORCID Icon, ORCID Icon &

References

  • Ahmad, W., S. Sehgal, and N. R. Bhanumurthy. 2013. “Eurozone Crisis and BRIICKS Stock Markets: Contagion or Market Interdependence?” Economic Modelling 33: 209–225. doi:10.1016/j.econmod.2013.04.009.
  • Aloui, C., and B. Hkiri. 2014. “Co-Movements of GCC Emerging Stock Markets : New Evidence from Wavelet Coherence Analysis.” Economic Modelling 36: 421–431. doi:10.1016/j.econmod.2013.09.043.
  • Arouri, M. E. H., M. Bellalah, and D. K. Nguyen. 2010. “The Comovements in International Stock Markets: New Evidence from Latin American Emerging Countries.” Applied Economics Letters 17 (13): 1323–1328. doi:10.1080/13504850902967449.
  • Asness, C. S., R. Israelov, and J. M. Liew. 2011. “International Diversification Works (Eventually).” Financial Analysts Journal 67 (3): 24–38. doi:10.2469/faj.v67.n3.1.
  • Baumöhl, E., and Š. Lyócsa. 2014. “Volatility and Dynamic Conditional Correlations of Worldwide Emerging and Frontier Markets.” Economic Modelling 38: 175–183. doi:10.1016/j.econmod.2013.12.022.
  • Bein, M. A., and G. Tuna. 2015. “Volatility Transmission and Dynamic Correlation Analysis between Developed and Emerging European Stock Markets during Sovereign Debt Crisis.” Romanian Journal of Economic Forecasting 18 (2): 61–80.
  • Bekaert, G., and C. R. Harvey. 1997. “Emerging Equity Market Volatility.” Journal of Financial Economics 43 (1): 29–77. doi:10.1016/S0304-405X(96)00889-6.
  • Dungey, M., and D. Gajurel. 2014. “Equity Market Contagion during the Global Financial Crisis: Evidence from the World’s Eight Largest Economies.” Economic Systems 38 (2): 161–177. doi:10.1016/j.ecosys.2013.10.003.
  • El Hedi Arouri, M., F. Jawadi, and D. K. Nguyen. 2010. The Dynamics of Emerging Stock Markets. Empirical Assessments and Implications (Contributi). Springer Verlag. doi:10.1007/978-3-7908-2389-9.
  • Fernández-Macho, J. 2012. “Wavelet Multiple Correlation and Cross-Correlation: A Multiscale Analysis of Eurozone Stock Markets.” Physica A: Statistical Mechanics and Its Applications 391 (4): 1097–1104. doi:10.1016/j.physa.2011.11.002.
  • Fernández-Macho, J. 2017. “Time-Localized Wavelet Multiple Regression and Correlation.” Physica A: Statistical Mechanics and Its Applications. 492, 1226-1238.
  • Forbes, K. J., and R. Rigobon. 2002. “No Contagion, Only Interdependence: Measuring Stock Market Comovements.” The Journal of Finance 57 (5): 2223–2261. doi:10.1111/0022-1082.00494.
  • Gallegati, M. 2012. “A Wavelet-Based Approach to Test for Financial Market Contagion.” Computational Statistics & Data Analysis 56 (11): 3491–3497. doi:10.1016/j.csda.2010.11.003.
  • Gencay, R., F. Selcuk, and B. Whitcher. 2002. An Introduction to Wavelets and Other Filtering Methods in Finance and Economics. Academic Press. doi:10.1201/9780203881095.fmatt.
  • Grubel, H. G. 1968. “Internationally Diversified Portfolios: Welfare Gains and Capital Flows.” The American Economic Review 58 (5): 1299–1314.
  • Hsu, D. A. 1979. “Detecting Shifts of Parameter in Gamma Sequences with Applications to Stock Price and Air Traffic Flow Analysis.” Journal of the American Statistical Association 74 (365): 31–40. doi:10.1080/01621459.1979.10481604.
  • Longin, F., and B. Solnik. 2001. “Extreme Correlation of International Equity Markets.” The Journal of Finance 56 (2): 649–676. doi:10.1111/0022-1082.00340.
  • Madaleno, M., and C. Pinho. 2012. “International Stock Market Indices Comovements: A New Look.” International Journal of Finance & Economics 17 (1): 89–102. doi:10.1002/ijfe.448.
  • Minsky, H. P. 1992. The Financial Instability Hypothesis.The Jerome Levy Economics Institute Working Paper No. 74. Available at SSRN: https://ssrn.com/abstract=161024 or http://dx.doi.org/10.2139/ssrn.161024.
  • Mollah, S., A. M. M. S. Quoreshi, and G. Zafirov. 2016. “Equity Market Contagion during Global Financial and Eurozone Crises: Evidence from a Dynamic Correlation Analysis.” Journal of International Financial Markets, Institutions and Money 41: 151–167. doi:10.1016/j.intfin.2015.12.010.
  • Niklewski, J., and T. Rodgers. 2013. International Portfolio Diversification and the 2007 Financial Crisis. In Advances in Financial Risk Management(pp. 225-252). Palgrave Macmillan UK.
  • Reboredo, J. C., and M. A. Rivera-Castro. 2013. “A Wavelet Decomposition Approach to Crude Oil Price and Exchange Rate Dependence.” Economic Modelling 32 (1): 42–57. doi:10.1016/j.econmod.2012.12.028.
  • Rua, A., and L. C. Nunes. 2009. “International Comovement of Stock Market Returns: A Wavelet Analysis.” Journal of Empirical Finance 16 (4): 632–639. doi:10.1016/j.jempfin.2009.02.002.
  • Samarakoon, L. P. 2011. “Stock Market Interdependence, Contagion, and the US Financial Crisis: The Case of Emerging and Frontier Markets.” Journal of International Financial Markets, Institutions and Money 21 (5): 724–742. doi:10.1016/j.intfin.2011.05.001.
  • Solnik, B. H. 1974. “The International Pricing of Risk: An Empirical Investigation of the World Capital Market Structure.” The Journal of Finance 29 (2): 365–378. doi:10.2307/2978806.
  • Whalen, C. 2008. “Understanding the Credit Crunch as a Minsky Moment.” Challenge 51 (1): 91–109. doi:10.2753/0577-5132510106.
  • Zhang, B., X. Li, and H. Yu. 2013. “Has Recent Financial Crisis Changed Permanently the Correlations between BRICS and Developed Stock Markets?” The North American Journal of Economics and Finance 26: 725–738. doi:10.1016/j.najef.2013.05.003.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.