Publication:

What can wavelets unveil about the vulnerabilities of monetary integration? A tale of Eurozone stock markets

Show simple item record
DC FieldValue
dc.contributor.authorDewandaru, Ginanjar
dc.contributor.authorMasih, Rumi
dc.contributor.authorMohammed Masih, Abul Mansur
dc.date.accessioned2016-06-06
dc.date.accessioned2016-07-25T18:56:52Z
dc.date.available2016-06-06
dc.date.available2016-07-25T18:56:52Z
dc.date.disclosure2016-06-10
dc.date.issued2016
dc.description.abstractThe study has two main objectives: (i) to investigate whether there is pure contagion or fundamental-based contagion/interdependence among the Eurozone equity markets (Germany, France, Italy, Spain and Netherlands), attributable to the shocks stemming from nine major crises around the world (ii) to investigate the evolution of market integration, whether mainly short-run or long-run. Wavelet decompositions, in both its discrete and continuous forms, are employed to unveil the multi-horizon nature of co-movements, volatility and lead–lag relationships. This is to unveil the path of linkages and the behavior underlying the transmission mechanism of financial shocks across major Eurozone stock markets. Evidence also supports the presence of common shocks whereby equity markets in Eurozone are significantly affected by episodic crisis events globally. Prior to the recent subprime crisis, contagion effects have generated short-term shocks that may potentially involve, among other factors, excessive channels. In stark contrast, the most recent US subprime crisis and EMU sovereign debt crisis reveal the evidence of fundamental-based contagion. We also find the increasing short-run and long-run stock market integration, driven by several stages of the establishment of EMU. Policy implications for regulators and investors are discussed in the context of continued monetary integration
dc.identifier.citationDewandaru, Ginanjar and Masih, Rumi and Mohammed Masih, Abul Mansur. (2016). What can wavelets unveil about the vulnerabilities of monetary integration? A tale of Eurozone stock markets. Economic Modelling, 52 (Part B), pp. 981–996.
dc.identifier.doihttps://doi.org/10.1016/j.econmod.2015.10.037
dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/1283
dc.languageEnglish
dc.language.isoen
dc.publisherElsevier
dc.rights2016. Elsevier
dc.sourceCRP
dc.subjectCo-movement
dc.subjectShock transmission
dc.subjectFinancial crisis
dc.subjectContagion
dc.subjectInterdependence
dc.subjectCausality
dc.subjectWavelet analysis
dc.subjectWavelet coherency
dc.subjectEurozone stock markets
dc.titleWhat can wavelets unveil about the vulnerabilities of monetary integration? A tale of Eurozone stock markets
dc.typeJournal Article
dlc.maintopicConventional finance
dlc.subtopicEconomics
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.docurlhttp://www.sciencedirect.com/science/article/pii/S0264999315003338
ikr.topic.maintopicConventional finance
ikr.topic.subtopicConventional finance
Appears in Collections
Journal Article
Files

Abstract View

2654040

View & Download

168429