Contagion and interdependence across Asia-Pacific equity markets: An analysis based on multi-horizon discrete and continuous wavelet transformations

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

International Review of Economics & Finance, 2016, vol. 43, issue C, 363-377

Abstract: Our study attempts to discover contagion amongst the Asia-Pacific equity markets (Japan, Hong Kong and Australia) during twelve major crises around the world. We apply both discrete and continuous wavelet decompositions to unveil the multi-horizon nature of co-movement and lead–lag relationship. We find that shocks were transmitted via excessive linkages, with the Asian crisis as the most influential in relation to a sudden stop. We also find that the subprime crisis revealed fundamentals-based contagion, due to the strengthening fundamental linkages, with a dominant role of the Japanese market. Finally, we find low co-movements in the short run, suggesting a partial convergence across the markets.

Keywords: co-movement; Shock transmission; Financial crisis; Contagion; Wavelet analysis (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (40)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:43:y:2016:i:c:p:363-377

DOI: 10.1016/j.iref.2016.01.002

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