Photo by davidhofmann from unsplash
Recent literature draws attention to the relationship of some financial markets, in particular, both the co-movement and the lead–lag effect. This paper examines the weekly frequency market indices of Japan,… Click to show full abstract
Recent literature draws attention to the relationship of some financial markets, in particular, both the co-movement and the lead–lag effect. This paper examines the weekly frequency market indices of Japan, Singapore, Hong Kong and China over the period 2000–2013 using wavelet analysis. The Morlet wavelet coherence model is employed since it allows the simultaneous examination of co-movement and lead–lag effect between the two markets in both the time and frequency domains. Our results show there exist a strong co-movement between stock markets of Japan, Singapore, Hong Kong and China in the long run and Japan leads the other markets in the long term.
Journal Title: Physica A: Statistical Mechanics and its Applications
Year Published: 2018
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!