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DC FieldValueLanguage
dc.contributor.authorDewandaru, Ginanjar-
dc.contributor.authorMasih, Rumi-
dc.contributor.authorMohammed Masih, Abul Mansur-
dc.date.accessioned2016-06-06-
dc.date.accessioned2016-07-25T19:25:46Z-
dc.date.available2016-06-06-
dc.date.available2016-07-25T19:25:46Z-
dc.date.issued2015-
dc.identifier.citationDewandaru, 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.-
dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/1322-
dc.description.abstractOur 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.-
dc.languageEnglish-
dc.language.isoen-
dc.publisherElsevier-
dc.rights2015. Elsevier-
dc.sourceCRP-
dc.subjectContagion-
dc.subjectAsian stock markets-
dc.subjectWavelet analysis-
dc.subjectInterdependence-
dc.subjectFinancial crisis-
dc.titleWhy is no financial crisis a dress rehearsal for the next? Exploring contagious heterogeneities across major Asian stock markets-
dc.typeJournal Article-
ikr.topic.maintopicConventional finance-
ikr.topic.subtopicConventional finance::Economics-
dc.identifier.doihttps://doi.org/10.1016/j.physa.2014.10.046-
dc.date.disclosure2016-06-10-
ikr.doctypeScholarly publication-
ikr.docurlhttp://www.sciencedirect.com/science/article/pii/S037843711400884X-
Appears in Collections:Journal Article


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  • Full metadata record
    DC FieldValueLanguage
    dc.contributor.authorDewandaru, Ginanjar-
    dc.contributor.authorMasih, Rumi-
    dc.contributor.authorMohammed Masih, Abul Mansur-
    dc.date.accessioned2016-06-06-
    dc.date.accessioned2016-07-25T19:25:46Z-
    dc.date.available2016-06-06-
    dc.date.available2016-07-25T19:25:46Z-
    dc.date.issued2015-
    dc.identifier.citationDewandaru, 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.-
    dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/1322-
    dc.description.abstractOur 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.-
    dc.languageEnglish-
    dc.language.isoen-
    dc.publisherElsevier-
    dc.rights2015. Elsevier-
    dc.sourceCRP-
    dc.subjectContagion-
    dc.subjectAsian stock markets-
    dc.subjectWavelet analysis-
    dc.subjectInterdependence-
    dc.subjectFinancial crisis-
    dc.titleWhy is no financial crisis a dress rehearsal for the next? Exploring contagious heterogeneities across major Asian stock markets-
    dc.typeJournal Article-
    ikr.topic.maintopicConventional finance-
    ikr.topic.subtopicConventional finance::Economics-
    dc.identifier.doihttps://doi.org/10.1016/j.physa.2014.10.046-
    dc.date.disclosure2016-06-10-
    ikr.doctypeScholarly publication-
    ikr.docurlhttp://www.sciencedirect.com/science/article/pii/S037843711400884X-
    Appears in Collections:Journal Article


  • why_no_financial_crisis_dress_rehearsal_next_exploring_co...
    • Size : 2,98 MB

    • Format : Adobe PDF

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    • Download :