Co-movement of stock exchange indices and exchange rates in Ghana: A wavelet coherence analysis

References

• Abhyankar, A. H. (1995). Return and volatility dynamics in the FT-SE 100 stock index and stock index futures markets. Journal of Futures Markets, 15(4), 457–488. doi:10.1002/(ISSN)1096-9934
   Web of Science ®Google Scholar
• Adam, A. M., & Tweneboah, G. (2008a). Do macroeconomic variables play any role in the stock market movement in Ghana? Available at SSRN 1152970. Retrieved from http://papers.ssrn.com/Sol3/papers.cfm?abstract_id=1152970
   Google Scholar
• Adam, A. M., & Tweneboah, G. (2008b). Macroeconomic factors and stock market movement: Evidence from Ghana. Available at SSRN 1289842. Retrieved from http://papers.ssrn.com/sol3/Papers.cfm?abstract_id=1289842
   Google Scholar
• Addo, A., & Sunzuoye, F. (2013). The Impact of Treasury Bill Rate and Interest Rate On The Stock Market Returns: Case Of Ghana Stock Exchange. European Journal of Business and Economics. 8, 2. Retrieved from https://journals.cz/index.php/EJBE/article/view/378
   Google Scholar
• Adjasi, C., Harvey, S., & Agyapong, D. (2008). Effect of exchange rate volatility on the Ghana stock exchange. African Journal of Accounting, Economics, Finance and Banking Research, 3(3).
   Google Scholar
• Aloui, C., & Hkiri, B. (2014a). 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
   Web of Science ®Google Scholar
• Aloui, C., & Hkiri, B. (2014b). 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
   Web of Science ®Google Scholar
• Anas, J., Billio, M., Ferrara, L., & LoDuca, M. (2007). A turning point chronology for the Euro-zone. In G. L. Mazzi & G. Savio (Eds.), Growth and cycle in the Euro zone (pp. 261–274). Venice: Department of Economics, Ca' Fosari University of Venice.
   Google Scholar
• Antonakakis, N. (2012). Exchange return co-movements and volatility spillovers before and after the introduction of euro. Journal of International Financial Markets, Institutions and Money, 22(5), 1091–1109. doi:10.1016/j.intfin.2012.05.009
   Web of Science ®Google Scholar
• Bank of Ghana. (2014). Notice to banks, forex bureaux and the general public. Accra: Author.
   Google Scholar
• Barakat, M. R., Elgazzar, S. H., & Hanafy, K. M. (2015). Impact of macroeconomic variables on stock markets: Evidence from emerging markets. International Journal of Economics and Finance, 8(1), 195. doi:10.5539/ijef.v8n1p195
   Google Scholar
• Beirne, J., & Gieck, J. (2014). Interdependence and contagion in global asset markets. Review of International Economics, 22(4), 639–659. doi:10.1111/roie.2014.22.issue-4
   Web of Science ®Google Scholar
• Bekiros, S., & Marcellino, M. (2013). The multiscale causal dynamics of foreign exchange markets. Journal of International Money and Finance, 33, 282–305. doi:10.1016/j.jimonfin.2012.11.016
   Web of Science ®Google Scholar
• Billio, M., Anas, J., Ferrara, L., & Duca, M. L. (2007). Business cycle analysis with multivariate markov switching models. Retrieved from https://ideas.repec.org/p/ven/wpaper/2007_32.html
   Google Scholar
• Boako, G., & Alagidede, P. (2016a). Regionalization versus internationalization of African stock markets: A frequency-time domain analysis. Retrieved from https://www.researchgate.net/profile/Gideon_Boako/publication/309160305_Regionalization_versus_internationalization_of_African_stock_markets_A_frequency-time/links/5802068908ae6c2449f7c5fa.pdf
   Google Scholar
• Boako, G., & Alagidede, P. (2016b). Regionalization versus Internationalization of African stock markets: A frequency-time domain analysis. Retrieved from https://www.researchgate.net/profile/Gideon_Boako/publication/309160305_Regionalization_versus_internationalization_of_African_stock_markets_A_frequency-time/links/5802068908ae6c2449f7c5fa.pdf
   Google Scholar
• Boako, G., & Alagidede, P. (2017a). Co-movement of Africa’s equity markets: Regional and global analysis in the frequency–Time domains. Physica A: Statistical Mechanics and Its Applications, 468, 359–380. doi:10.1016/j.physa.2016.10.088
   Web of Science ®Google Scholar
• Boako, G., & Alagidede, P. (2017b). Co-movement of Africa’s equity markets: Regional and global analysis in the frequency–Time domains. Physica A: Statistical Mechanics and Its Applications, 468, 359–380. doi:10.1016/j.physa.2016.10.088
   Web of Science ®Google Scholar
• Boako, G., Omane-Adjepong, M., & Frimpong, J. M. (2015). Stock returns and exchange rate nexus in Ghana: A Bayesian quantile regression approach. South African Journal of Economics. Retrieved from http://onlinelibrary.wiley.com/doi/10.1111/saje.12096/pdf
   Web of Science ®Google Scholar
• Brooks, C. (2008). Introductory econometrics for finance (2nd ed.). Cambridge England; New York: Cambridge University Press.
   Google Scholar
• Brooks, C., Rew, A. G., & Ritson, S. (2001). A trading strategy based on the lead–lag relationship between the spot index and futures contract for the FTSE 100. International Journal of Forecasting, 17(1), 31–44. doi:10.1016/S0169-2070(00)00062-5
   Web of Science ®Google Scholar
• Burrus, C. S., Gopinath, R. A., & Guo, H. (1998). Wavelets and wavelet transforms (Houston Edition ed., pp. 98). Texas: Rice University.
   Google Scholar
• Campbell, J. Y., Lo, A. W.-C., & MacKinlay, A. C. (1997). The econometrics of financial markets. New Jersey: Princeton University press.
   Google Scholar
• Chan, K. (1992). A further analysis of the lead–Lag relationship between the cash market and stock index futures market. Review of Financial Studies, 5(1), 123–152. doi:10.1093/rfs/5.1.123
   Web of Science ®Google Scholar
• Chatrath, A., Christie-David, R., Dhanda, K. K., & Koch, T. W. (2002). Index futures leadership, basis behavior, and trader selectivity. Journal of Futures Markets, 22(7), 649–677. doi:10.1002/(ISSN)1096-9934
   Web of Science ®Google Scholar
• Conraria, L. A., & Soares, M. J. (2011). The continuous wavelet transform: A primer. NIPE Working Paper, 16, 1–43.
   Google Scholar
• Dahir, A. M., Mahat, F., Ab Razak, N. H., & Bany-Ariffin, A. N. (2017). Revisiting the dynamic relationship between exchange rates and stock prices in BRICS countries: A wavelet analysis. Borsa Istanbul Review, 17.
   Google Scholar
• Dias, A., & Embrechts, P. (2010). Modeling exchange rate dependence dynamics at different time horizons. Journal of International Money and Finance, 29(8), 1687–1705. doi:10.1016/j.jimonfin.2010.06.004
   Web of Science ®Google Scholar
• Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: Journal of the Econometric Society, 49, 1057–1072. doi:10.2307/1912517
   Web of Science ®Google Scholar
• Do, H. X., Brooks, R., Treepongkaruna, S., & Wu, E. (2016). Stock and currency market linkages: New evidence from realized spillovers in higher moments. International Review of Economics & Finance, 42, 167–185. doi:10.1016/j.iref.2015.11.003
   Web of Science ®Google Scholar
• Engle, R. F., Ito, T., & Lin, W.-L. (1988). Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market ( Working Paper No. 2609). National Bureau of Economic Research. https://doi.org/10.3386/w2609
   Google Scholar
• Engle, R. F., & Yoo, B. S. (1987). Forecasting and testing in co-integrated systems. Journal of Econometrics, 35(1), 143–159. doi:10.1016/0304-4076(87)90085-6
   Web of Science ®Google Scholar
• Ftiti, Z., Tiwari, A., Belanès, A., & Guesmi, K. (2015). Tests of financial market contagion: Evolutionary cospectral analysis versus wavelet analysis. Computational Economics, 46(4), 575–611. doi:10.1007/s10614-014-9461-8
   Web of Science ®Google Scholar
• Fung, J. K., Li, J., & Cheng, L. T. (2001). Lead-lag relationship between spot and futures markets under different short-selling regimes. Business Research Centre, School of Business, Hong Kong Baptist University. Retrieved from https://www.researchgate.net/profile/Joseph_Fung/publication/227801243_The_LeadLag_Relation_Between_Spot_and_Futures_Markets_Under_Different_ShortSelling_Regimes/links/0c96053b231b2a5964000000.pdf.
   Google Scholar
• Gabor, D. (1946). Theory of communication. Part 1: The analysis of information. Journal of the Institution of Electrical Engineers-Part III: Radio and Communication Engineering, 93(26), 429–441.
   Google Scholar
• Graham, M., Kiviaho, J., & Nikkinen, J. (2012). Integration of 22 emerging stock markets: A three-dimensional analysis. Global Finance Journal, 23(1), 34–47. doi:10.1016/j.gfj.2012.01.003
   Google Scholar
• Grinsted, A., Moore, J. C., & Jevrejeva, S. (2004). Application of the cross wavelet transform and wavelet coherence to geophysical time series. Nonlinear Processes in Geophysics, 11(5/6), 561–566. doi:10.5194/npg-11-561-2004
   Web of Science ®Google Scholar
• Grossman, A., & Morlet, J. (1984). SIAM (Soc. Ind. Appl. Math.). Journal Mathematical Analysis, 15(4), 273.
   Google Scholar
• Grünbichler, A., Longstaff, F. A., & Schwartz, E. S. (1994). Electronic screen trading and the transmission of information: An empirical examination. Journal of Financial Intermediation, 3(2), 166–187. doi:10.1006/jfin.1994.1002
   Google Scholar
• Gujarati, P. D. (2011). Econometrics by example. Houndmills, Basingstoke, Hampshire; New York: Palgrave Macmillan.
   Google Scholar
• Hashim, K. K., & Masih, M. (2015). Stock market volatility and exchange rates: MGARCH-DCC and wavelet approaches. MPRA Paper No. 65234.
   Google Scholar
• Heil, C. E., & Walnut, D. F. (1989). Continuous and discrete wavelet transforms. SIAM Review, 31(4), 628–666. doi:10.1137/1031129
   Web of Science ®Google Scholar
• Iihara, Y., Kato, K., & Tokunaga, T. (1996). Intraday return dynamics between the cash and the futures markets in Japan. Journal of Futures Markets, 16(2), 147–162. doi:10.1002/(ISSN)1096-9934
   Web of Science ®Google Scholar
• In, F., & Kim, S. (2013). An introduction to wavelet theory in finance: A wavelet multiscale approach. World Scientific. Retrieved from https://books.google.com/books?hl=en‎&id=D3O6CgAAQBAJ&oi=fnd&pg=PR5&dq=in+and+kim+book++Wavelet&ots=Hw6MzzNMtx&sig=1U8Q1WSo1CwPEBnclbGvVzCJRtU
   Google Scholar
• Issahaku, H., Ustarz, Y., & Domanban, P. B. (2013). Macroeconomic variables and stock market returns in Ghana: Any causal link? Asian Economic and Financial Review, 3(8), 1044.
   Google Scholar
• Junior, P. O., Adam, A. M., & Tweneboah, G. (2017). Co-movement of real exchange rates in the West African monetary zone. Cogent Economics & Finance, 5(1), 1351807. doi:10.1080/23322039.2017.1351807
   Web of Science ®Google Scholar
• Kristoufek, L. (2015). What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis. PloS One, 10(4), e0123923. doi:10.1371/journal.pone.0123923
   PubMed Web of Science ®Google Scholar
• Kumar, S., Pathak, R., Tiwari, A. K., & Yoon, S.-M. (2017). Are exchange rates interdependent? Evidence using wavelet analysis. Applied Economics, 49(33), 3231–3245. doi:10.1080/00036846.2016.1257108
   Web of Science ®Google Scholar
• Lim, K.-G. (1992). Arbitrage and price behavior of the Nikkei stock index futures. Journal of Futures Markets, 12(2), 151–161. doi:10.1002/(ISSN)1096-9934
   Web of Science ®Google Scholar
• Loh, L. (2013). Co-movement of Asia-Pacific with European and US stock market returns: A cross-time-frequency analysis. Research in International Business and Finance, 29, 1–13. doi:10.1016/j.ribaf.2013.01.001
   Google Scholar
• Madaleno, M., & Pinho, C. (2010a). Hedging performance and multiscale relationships in the German electricity spot and futures markets. Journal of Risk and Financial Management, 3(1), 26–62. doi:10.3390/jrfm3010026
   Google Scholar
• Madaleno, M., & Pinho, C. (2010b). Relationship of the multiscale variability on world indices. Revista De Economia Financiera, 20, 69–92.
   Google Scholar
• Madaleno, M., & Pinho, C. (2012). International stock market indices comovements: A new look. International Journal of Finance & Economics, 17(1), 89–102. doi:10.1002/ijfe.448
   Web of Science ®Google Scholar
• Masih, M., & Majid, H. A. (2013). Comovement of selected international stock market indices: A continuous wavelet transformation and cross wavelet transformation analysis. Retrieved from https://mpra.ub.uni-muenchen.de/id/eprint/58313
   Google Scholar
• Morlet, J., Arens, G., Fourgeau, E., & Glard, D. (1982). Wave propagation and sampling theory—Part I: Complex signal and scattering in multilayered media. Geophysics, 47(2), 203–221. doi:10.1190/1.1441328
   Web of Science ®Google Scholar
• Niemeyer, J. (2012). An analysis of the lead-lag relationship between the OMX index forwards and the OMX cash index. Retrieved from http://www.diva-portal.org/smash/record.jsf?pid=diva2:517002
   Google Scholar
• Nikkinen, J., Sahlström, P., & Vähämaa, S. (2006). Implied volatility linkages among major European currencies. Journal of International Financial Markets, Institutions and Money, 16(2), 87–103. doi:10.1016/j.intfin.2004.12.007
   Google Scholar
• Orlov, A. G. (2009). A cospectral analysis of exchange rate comovements during Asian financial crisis. Journal of International Financial Markets, Institutions and Money, 19(5), 742–758. doi:10.1016/j.intfin.2008.12.004
   Google Scholar
• Patton, A. J. (2006). Modelling asymmetric exchange rate dependence. International Economic Review, 47(2), 527–556. doi:10.1111/iere.2006.47.issue-2
   Web of Science ®Google Scholar
• Pérez-Rodríguez, J. V. (2006). The Euro and other major currencies floating against the US dollar. Atlantic Economic Journal, 34(4), 367–384. doi:10.1007/s11293-006-9042-x
   Google Scholar
• Pinho, C., & Madaleno, M. (2011). Multiscale analysis of European electricity markets. Departemento de Economia Gestão e Engenharia Industrial, Universidade de Aveiro.
   Google Scholar
• Pukthuanthong, K., & Roll, R. (2009). Global market integration: An alternative measure and its application. Journal of Financial Economics, 94(2), 214–232. doi:10.1016/j.jfineco.2008.12.004
   Web of Science ®Google Scholar
• Ranta, M. (2010). Wavelet multiresolution analysis of financial time series. Universitas Wasaensis. Retrieved from http://www.uva.fi/materiaali/pdf/isbn_978-952-476-303-5.pdf
   Google Scholar
• Roesch, A., & Schmidbauer, H. (2014). Package ‘WaveletComp’. Retrieved from https://pbil.univ-lyon1.fr/CRAN/web/packages/WaveletComp/WaveletComp.pdf
   Google Scholar
• Rua, A. (2010). Measuring comovement in the time–Frequency space. Journal of Macroeconomics, 32(2), 685–691. doi:10.1016/j.jmacro.2009.12.005
   Web of Science ®Google Scholar
• Rua, A., & Nunes, L. C. (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
   Web of Science ®Google Scholar
• Stoll, H. R., & Whaley, R. E. (1990). The dynamics of stock index and stock index futures returns. Journal of Financial and Quantitative Analysis, 25(04), 441–468. doi:10.2307/2331010
   Web of Science ®Google Scholar
• Tamakoshi, G., & Hamori, S. (2014). Co-movements among major European exchange rates: A multivariate time-varying asymmetric approach. International Review of Economics & Finance, 31, 105–113. doi:10.1016/j.iref.2014.01.016
   Web of Science ®Google Scholar
• Tavlas, G. S. (1998). The international use of currencies: The US dollar and the euro. Finance and Development, 35(2), 46.
   Google Scholar
• Torrence, C., & Compo, G. P. (1998). A practical guide to wavelet analysis. Bulletin of the American Meteorological Society, 79(1), 61–78. doi:10.1175/1520-0477(1998)079<0061:APGTWA>2.0.CO;2
   Web of Science ®Google Scholar
• Torrence, C., & Webster, P. J. (1999). Interdecadal changes in the ENSO–Monsoon system. Journal of Climate, 12(8), 2679–2690. doi:10.1175/1520-0442(1999)012<2679:ICITEM>2.0.CO;2
   Web of Science ®Google Scholar
• Tsay, R. S. (2005). Analysis of financial time series (Vol. 543). New York, NY: John Wiley & Sons.
   Google Scholar
• Uddin, G. S., Tiwari, A. K., Arouri, M., & Teulon, F. (2013). On the relationship between oil price and exchange rates: A wavelet analysis. Economic Modelling, 35, 502–507. doi:10.1016/j.econmod.2013.07.035
   Web of Science ®Google Scholar
• Veleda, D., Montagne, R., & Araujo, M. (2012). Cross-wavelet bias corrected by normalizing scales. Journal of Atmospheric and Oceanic Technology, 29(9), 1401–1408. doi:10.1175/JTECH-D-11-00140.1
   Web of Science ®Google Scholar
• Vorlowa, A. A. C. E. (2003). Wavelet exploratory analysis of the FTSE ALL SHARE index. Retrieved from http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.564.8044&rep=rep1&type=pdf
   Google Scholar
• Wang, G.-J., & Xie, C. (2013). Cross-correlations between Renminbi and four major currencies in the Renminbi currency basket. Physica A: Statistical Mechanics and Its Applications, 392(6), 1418–1428. doi:10.1016/j.physa.2012.11.035
   Web of Science ®Google Scholar
• Yang, L., Cai, X. J., Zhang, H., & Hamori, S. (2016). Interdependence of foreign exchange markets: A wavelet coherence analysis. Economic Modelling, 55, 6–14. doi:10.1016/j.econmod.2016.01.022
   Web of Science ®Google Scholar
• Yong, S. T. (2006). The dynamics of the spot index and futures contract for Singapore exchange. Retrieved from http://scholarbank.nus.sg/bitstream/handle/10635/15251/Master%20Thesis.pdf?sequence=1
   Google Scholar