Co-movement of Asia-Pacific with European and US stock market returns: A cross-time-frequency analysis

Lixia Loh

Research in International Business and Finance, 2013, vol. 29, issue C, 1-13

Abstract: We investigate the co-movement of 13 Asia-Pacific stock market returns with that of European and US stock market returns using the wavelet coherence method. Our results show consistent co-movement between most of the Asia-Pacific stock markets and that of Europe and the US in the long run. We also uncover evidence of a wide variation in co-movement across the time scale of the financial crises. The co-movement dynamics of the Asia-Pacific markets with that of Europe and the US are different during the two financial crises. The difference in the co-movement dynamics could be the result of the different natures of the financial crises or a change in regime.

Keywords: Co-movement; Crisis; Scale-variation; Time-variation; Wavelet coherence (search for similar items in EconPapers)
JEL-codes: C40 G01 G10 G15 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (86)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:29:y:2013:i:c:p:1-13

DOI: 10.1016/j.ribaf.2013.01.001

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