Has co-movement dynamics in emerging stock markets changed after global financial crisis? New evidence from wavelet analysis
Aviral Tiwari () and
Khamis Hamed Al-Yahyaee
Applied Economics Letters, 2018, vol. 25, issue 20, 1447-1453
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.
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:25:y:2018:i:20:p:1447-1453
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