Contagion and interdependence across Asia-Pacific equity markets: an analysis based on multi-horizon discrete and continuous wavelet transformations
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Our study attempts to discover contagion amongst the Asia-Pacific equity markets (Japan, Hong Kong and Australia) during twelve major crises around the world. We apply both discrete and continuous wavelet decompositions to unveil the multi-horizon nature of co-movement and lead–lag relationship. We find that shocks were transmitted via excessive linkages, with the Asian crisis as the most influential in relation to a sudden stop. We also find that the subprime crisis revealed fundamentals-based contagion, due to the strengthening fundamental linkages, with a dominant role of the Japanese market. Finally, we find low co-movements in the short run, suggesting a partial convergence across the markets
Co-movement , Shock transmission , Financial crisis , Contagion , Wavelet analysis
Dewandaru, Ginanjar and Masih, Rumi and Mohammed Masih, Abul Mansur. (2016). Contagion and interdependence across Asia-Pacific equity markets: an analysis based on multi-horizon discrete and continuous wavelet transformations. International Review of Economics & Finance, 43, pp. 363–377.