International transmission of stock market movements a wavelet analysis
23 Aug 2012 Based on the theory of international stock market co-movements, this study shows that a profitable trading strategy can be 2.5 Overnight and daily transmission of stock returns . by employing wavelet analysis. Analyses of 22 Sep 2015 However, in both domestic and global financial markets, there are more than two We then compare our results with the statistical features of the stock traditional statistical analysis, such as the “all positive co-fluctuation matrix” 2013), wavelet analysis (Akoum et al., 2012; Reboredo and Rivera-Castro, This study investigates the international transmission mechanism of stock market movements via wavelet analysis. While GARCH-type models have mainly been used in most recent research in this area International transmission of stock market movements: a wavelet analysis HAHN SHIK LEE Department of Economics, Sogang University, CPO Box 1142, Seoul, Korea 121-742 This study investigates the international transmission mechanism of stock market movements via wavelet analysis. While GARCH-type models have mainly been used in most recent research in this area, the discrete wavelet decomposition is used in this study to propose a new methodology for investigating the dynamics and the potential interaction in international stock markets. International Transmission of Stock Market Movements: A Wavelet Analysis on MENA Stock Markets Hahn Shik Lee∗ Department of Economics Sogang University Seoul, KOREA October 2001 ∗ This is a preliminary draft to be presented at the ERF™s Eighth Annual Conference in Manama, Bahrain. I would
23 Aug 2006 This study investigates the international transmission mechanism of stock market movements via wavelet analysis. While GARCH-type models
Abstract. This study investigates the international transmission mechanism of stock market movements via wavelet analysis. While GARCH-type models have mainly been used in most recent research in this area, the discrete wavelet decomposition is used in this study to propose a new methodology for investigating the dynamics and the potential interaction in international stock markets. stock market turns out to be, by far, the most influential in the world. Innovations in the U.S. stock market are rapidly transmitted to other markets in a clearly recognizable pattern, whereas no single foreign market can significantly explain the U.S. market movements. The rather speedy transmission of a U.S. shock to In the present paper, we consider the performance of the CEEMDAN technique and the wide use of the discrete wavelet transform (DWT) in analysis of international stock market contagion. From on the above motivations, the contribution of our research is as follows: Firstly, we distinguish crisis events (irregular events and extreme events) in international stock markets (Asia, European and America). International Transmission of Stock Market Movements: A Wavelet Analysis on MENA Stock Markets Hahn Shik Lee ∗ Department of Economics Sogang University Seoul, KOREA October 2001 ∗ This is a preliminary draft to be presented at the ERF°s Eighth Annual Conference in Manama, Bahrain. This study accounts for the time‐varying pattern of price shock transmission, exploring stock market linkages using continuous time wavelet methodology. In order to sustain and improve previous results regarding correlation analysis between stock market indices, namely FTSE100, DJIA30, Nikkei225 and Bovespa, we extend here such analysis using the Coherence Morlet Wavelet, considering financial crisis episodes. International transmission of stock price movements: Evidence from the U.S. and five Asian-Pacific markets. Abstract. Using a vector autoregressive analysis, this paper examines the structure of international transmissions in daily returns for six national stock markets— the U.S., Japan, Hong Kong, Singapore, Taiwan, and Thailand. Downloadable! This study accounts for the time-varying pattern of price shock transmission, exploring stock market co-movements using continuous wavelet coherency methodology to find the correlation analysis between stock market indices of Malaysia, Thailand (Asian), Greece (Europe) and United States, in the time-frequency domain of time-series data.
In the present paper, we consider the performance of the CEEMDAN technique and the wide use of the discrete wavelet transform (DWT) in analysis of international stock market contagion. From on the above motivations, the contribution of our research is as follows: Firstly, we distinguish crisis events (irregular events and extreme events) in international stock markets (Asia, European and America).
This study investigates the international transmission mechanism of stock market movements via wavelet analysis. While 16 May 2018 PDF | This study investigates the international transmission mechanism of stock market movements via wavelet analysis. While GARCH-type Wavelet analysis allows one to measure the comovement in the time-frequency space. In this way, one can characterize how international stock returns relate in 1. International Transmission of Stock Market Movements : A Wavelet Analysis on MENA Stock Markets. Hahn Shik Lee. Department of Economics. Sogang
International Transmission of Stock Market Movements: A Wavelet Analysis on MENA Stock Markets Hahn Shik Lee ∗ Department of Economics Sogang University Seoul, KOREA October 2001 ∗ This is a preliminary draft to be presented at the ERF°s Eighth Annual Conference in Manama, Bahrain.
Abstract. This study investigates the international transmission mechanism of stock market movements via wavelet analysis. While GARCH-type models have mainly been used in most recent research in this area, the discrete wavelet decomposition is used in this study to propose a new methodology for investigating the dynamics and the potential interaction in international stock markets. This study aims to examine the fundamental forces driving stock returns and volatility across the international stock markets. Logistic regression analysis is used to investigate possible highly correlated among 9 international stock markets with stock market of Taiwan. Afterward, the highly correlated stock indices with Taiwan would be selected as the input variables of adaptive network-based JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS VOL 24, NO 2, JUNE 1989 International Transmission of Stock Market Movements Cheol S. Eun and Sangdal Shim* Abstract This paper investigates the international transmission mechanism of stock market move? ments by estimating a nine-market vector autoregression (VAR) system. Using simulated Comovement of Selected International Stock Market Indices:A Continuous Wavelet Transformation and Cross Wavelet Transformation Analysis Mansur Masih1* Hamdan Abdul Majid 2 ABSTRACT This study accounts for the time-varying pattern of price shock transmission, exploring stock market co-movements using continuous wavelet coherency methodology to
Abstract. This study investigates the international transmission mechanism of stock market movements via wavelet analysis. While GARCH-type models have mainly been used in most recent research in this area, the discrete wavelet decomposition is used in this study to propose a new methodology for investigating the dynamics and the potential interaction in international stock markets.
The economic integration of international stock markets has become espe- cially relevant over volatility and correlations, and the maximal overlap discrete wavelet transform International transmission of stock market movements. Journal of 1 May 2018 distinguish trading patterns from other price movements. This work the feasibility of stock market data analysis using wavelet and specifically [10]Lee, H. S, International Transmission of Stock Market. Movements: A Since the 1970s, the African continent has been known internationally as a The wavelet correlation analysis showed that oil prices and stock market returns Shock and volatility transmission in the oil, US and Gulf equity markets, Int. Rev. Lee (2004) investigates the international transmission mechanism of stock market movements via wavelet analysis. Using a daily data of stock indices, he finds a.
The assessment of the comovement among international stock markets is of key interest, for example, for the international portfolio diversification literature. In this paper, we re-examine such comovement by resorting to a novel approach, wavelet analysis. Wavelet analysis allows one to measure the comovement in the time–frequency space. This paper investigates the international transmission mechanism of stock market movements by estimating a nine-market vector autoregression (VAR) system. Using simulated responses of the estimated VAR system, we (i) locate all the main channels of interactions among national stock markets, and (ii) trace out the dynamic responses of one market to innovations in another. Generally speaking, a substantial amount of multi-lateral interaction is detected among national stock markets