Publication:
Regional spillovers across transitioning emerging and frontier equity markets: a multi-time scale wavelet analysis
| DC Field | Value | |
|---|---|---|
| dc.contributor.author | Ginanjar Dewandaru | |
| dc.contributor.author | Rumi Masih | |
| dc.contributor.author | Abul Mansur Mohammed Masih | |
| dc.date.accessioned | 2017-10-20T07:32:01Z | |
| dc.date.available | 2017-10-20T07:32:01Z | |
| dc.date.issued | 2017 | |
| dc.description.abstract | The episodic wave of crises experienced across the global financial markets over the past two decades has raised questions surrounding the vulnerability of transitioning emerging and frontier equity markets to exogenous shocks. These markets, by design, have lacked the institutional or financial architecture supporting their capital base compared to more established markets. We make the initial attempt to examine four such stock markets (Saudi Arabia, UAE, South Africa and Israel). We perform multi-timescale analysis using wavelet-based time and frequency decompositions in order to investigate (i) whether the shocks transmitted were pure contagion or fundamental-based and (ii) also whether the dynamic evolution of stock market integration was mainly shortterm or long-term. We find that prior to the 2008/09 US subprime crisis, the shocks generated pure contagion in contrast to the subprime crisis that reveals evidence supportive of fundamental-based contagion. Further, when exploring the dynamics of market integration, we find that integration strengthens over time as opposed to any immediate short-term outcome. This supports policies engendered to promote stock market resiliency and stability. | en_US |
| dc.identifier.citation | Dewandaru, G., Masih, R., & Mohammed Masih, A. M. (2017). Regional spillovers across transitioning emerging and frontier equity markets: a multi-time scale wavelet analysis. Economic Modelling, 65, 30-40. https://doi.org/10.1016/j.econmod.2017.04.026 | en_US |
| dc.identifier.doi | https://doi.org/10.1016/j.econmod.2017.04.026 | |
| dc.identifier.issn | 0264-9993 | |
| dc.identifier.uri | https://ikr.inceif.org/handle/INCEIF/2706 | |
| dc.language | English | |
| dc.language.iso | eng | en_US |
| dc.publisher | Elsevier | en_US |
| dc.rights | 2017. Elsevier | |
| dc.source | SEDONA | |
| dc.subject | Contagion | en_US |
| dc.subject | Integration | en_US |
| dc.subject | Middle East and South African stock markets | en_US |
| dc.subject | Wavelets | en_US |
| dc.title | Regional spillovers across transitioning emerging and frontier equity markets: a multi-time scale wavelet analysis | en_US |
| dc.type | Journal Article | en_US |
| dlc.maintopic | Conventional finance | en_US |
| dlc.subtopic | Conventional finance::Capital markets | en_US |
| dspace.entity.type | Publication | |
| ikr.doctype | Scholarly Works | |
| ikr.topic.maintopic | Conventional finance | en_US |
| ikr.topic.subtopic | Conventional finance::Capital markets | en_US |
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