Why is no financial crisis a dress rehearsal for the next? Exploring contagious heterogeneities across major Asian stock markets

Ginanjar Dewandaru, Rumi Masih and A. Mansur M. Masih
Authors registered in the RePEc Author Service: Abul Mansur Mohammed Masih

Physica A: Statistical Mechanics and its Applications, 2015, vol. 419, issue C, 241-259

Abstract: Our study attempts to discover pure contagion or interdependence amongst the Asian equity markets (China, India, Taiwan and South Korea) due to the shocks stemming from eleven major crises around the world. We apply wavelet decomposition in both its discrete and continuous forms to unveil the multi-horizon nature of co-movement, volatility and lead–lag relationship. We find that most of the earlier shocks were transmitted via excessive linkages or pure contagion, while the recent subprime crisis appears to have resulted mostly in fundamentals-based contagion or interdependence. This assertion is based mainly on the deepening fundamental integration particularly after the Asian financial crisis period. We also find the relatively dominating role of China and South Korea after this crisis.

Keywords: Contagion; Asian stock markets; Wavelet analysis; Interdependence; Financial crisis (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (26)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:419:y:2015:i:c:p:241-259

DOI: 10.1016/j.physa.2014.10.046

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