Publication:
Why is no financial crisis a dress rehearsal for the next? Exploring contagious heterogeneities across major Asian stock markets
Abstracts views
82
Views & Download
10
Date
2015
SDG:
Abstract
Our study attempts to discover pure contagion or interdependence amongst the Asian equity markets (China, India, Taiwan and South Korea) due to the shocks stemming from eleven major crises around the world. We apply wavelet decomposition in both its discrete and continuous forms to unveil the multi-horizon nature of co-movement, volatility and lead–lag relationship. We find that most of the earlier shocks were transmitted via excessive linkages or pure contagion, while the recent subprime crisis appears to have resulted mostly in fundamentals-based contagion or interdependence. This assertion is based mainly on the deepening fundamental integration particularly after the Asian financial crisis period. We also find the relatively dominating role of China and South Korea after this crisis.
Keywords
Contagion , Asian stock markets , Wavelet analysis , Interdependence , Financial crisis
Citation
Dewandaru, Ginanjar and Masih, Rumi and Mohammed Masih, Abul Mansur. (2015). Why is no financial crisis a dress rehearsal for the next? Exploring contagious heterogeneities across major Asian stock markets. Physica A: Statistical Mechanics and its Applications, 419, pp. 241–259.
Publisher
Elsevier