Tests of Financial Market Contagion: Evolutionary Cospectral Analysis V.S. Wavelet Analysis
Aviral Tiwari (),
Amél Belanès and
No 2014-577, Working Papers from Department of Research, Ipag Business School
This paper examines the co-movements dynamics between OCDE countries with the US and Europe. The core focus is to suggest advantageous techniques allowing the investigation with respect to time and frequency, namely evolutionary co-spectral analysis and wavelet analysis. Our study puts in evidence the existence of both long run and short-run co-movements. Both interdependence and contagion are well identified across markets; but with slight differences. Both investors and policymakers can derive worthwhile information from this research. Recognizing countries sensitivity to permanent and transitory shocks enables investors to select rational investment strategies. Similarly, policymakers can make safe crisis management policies.
Keywords: contagion; interdependence; stock markets index; evolutionary co-spectral analysis; wavelet analysis. (search for similar items in EconPapers)
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