EconPapers    
Economics at your fingertips  
 

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

Debojyoti Das, M. Kannadhasan, Aviral Tiwari () and Khamis Hamed Al-Yahyaee

Applied Economics Letters, 2018, vol. 25, issue 20, 1447-1453

Abstract: In this article, we revisit the issue of contagion, interdependence and changes in correlation structure after the Global Financial Crisis (GFC) of 2008 between developed and emerging markets in a time-frequency domain using a wavelet-based approach for the period spanning over 1 January 1999 to 8 November 2016. We report evidences of: (a) weaker contagion for Latin American emerging markets during GFC, (b) a strong contagion effect for emerging markets in Europe and the Middle East and (c) a fall in long-run co-movements after GFC, which means by investing in emerging markets, the diversification benefits can be derived in the long run. We report evidence of coexistence of contagion and permanent change in correlation structure.

Date: 2018
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2018.1430307 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:25:y:2018:i:20:p:1447-1453

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2019-04-16
Handle: RePEc:taf:apeclt:v:25:y:2018:i:20:p:1447-1453