Tests of Financial Market Contagion: Evolutionary Cospectral Analysis V.S. Wavelet Analysis

Zied Ftiti, Aviral Tiwari, Amel Belanes and Khaled Guesmi

No 2014-577, Working Papers from Department of Research, Ipag Business School

Abstract: 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)
Pages: 27 pages
Date: 2014-01-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://faculty-research.ipag.edu/wp-content/uploa ... IPAG_WP_2014_577.pdf (application/pdf)

Related works:
Working Paper: Tests of Financial Market Contagion: Evolutionary Cospectral Analysis V.S. Wavelet Analysis (2014)
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:ipg:wpaper:2014-577

Access Statistics for this paper

More papers in Working Papers from Department of Research, Ipag Business School Contact information at EDIRC.
Bibliographic data for series maintained by Ingmar Schumacher ().