Information transmission across stock indices and stock index futures: International evidence using wavelet framework

Aloui, Chaker; Hkiri, Besma; Lau, Chi Keung Marco; Yarovaya, Larisa

doi:10.1016/j.ribaf.2017.07.112

Cited by 20 publications

(13 citation statements)

References 45 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…We use a wavelet approach to determine the interrelationship between the selected stock markets. Wavelet has a strong potential to capture the non-stationary behavior and time-varying trends present in the stock price data [6,30,31]. Different studies provided a detailed and formal description of the wavelet approach [15,29].…”

Section: Methodsmentioning

confidence: 99%

“…The method of wavelet helps to decompose a time-series (ψ u, (t)) into components form, which allows us to read the time-series information. Using the same notations as in [6,30,31], and in earlier works, by [15], and [26] we define wavelets as:…”

Section: Methodsmentioning

confidence: 99%

“…In the first step, we described each time series with the time series graph, descriptive statistics, and other preliminary tests. In the second step, we used individual power spectrum to analyses individual series variance [30][31][32], we refer to cross wavelets transformation (XWT) to show the local covariance between time-series, as well as the wavelet coherence (WCOH) to examine the co-movements between the pairs of each selected with Chinese stock markets. In the third step, we used the VaR (Value at Risk) of the portfolio of the Asian emerging markets.…”

Section: Plos Onementioning

confidence: 99%

See 2 more Smart Citations

Stock market comovements among Asian emerging economies: A wavelet-based approach

et al. 2020

View full text Add to dashboard Cite

Stock market, is one of the most important financial market which has a close relationship with a country's economy, due to which it is often called the barometer of the economy. Over the past 25 years, the stock markets have been affected by different global economic shocks. Various researchers have analyzed different aspects of these effects one by one, however, this study is an assessment of stock market interrelationship of emeriging Asian economies which include most of the East Asian, and Southeast Asian emerging economies with special focus on China for past decades during which different crisis occurred. We used Morgan Stanley capital international (MSCI) daily indices data for each stock market and compared Chinese stock market with the stock markets of India, Pakistan, Malaysia, Singapore, and Indonesia. We analyzed the data through the individual wavelet power spectrum, cross-wavelet transform and wavelet coherence, to determine the correlation and volatility among the selected stock markets. These model have the power to analyze co-movements among these countries with respect to both frequency and time spaces. Our findings show that there are co-movement patterns of higher frequencies during the crises periods of 1997, 2008 and 2015. The dependency strength among the considered economies is noted to increase in the crisis periods, which implies increased short-and long-term benefits for the investors. From a financial point of view, it has been determined that the co-movement strength among the emerging economies of Asia may have an effect on the VaR (Value at Risk) levels of a multi-country portfolio. Furthermore, the stock market of China shows a high correlation with the other six Asian stock emerging markets in both high and low-frequency spectrums. The association of the south and east Asian stock market with Chinese stock markets show the interconnection of these economies with the economy of China since past two decades. These findings are useful for investors, portfolio managers and the policymaker around the globe.

show abstract

Section: Methodsmentioning

confidence: 99%

Section: Methodsmentioning

confidence: 99%

Section: Plos Onementioning

confidence: 99%

See 1 more Smart Citation

Stock market comovements among Asian emerging economies: A wavelet-based approach

et al. 2020

View full text Add to dashboard Cite

show abstract

“…In the latter set, one may refer to Yarovaya, Brzeszczyński, and Lau (2016), for 10 developed and 11 emerging markets, Alan, Karagozoglu, and Korkmaz (2016), comparing Turkish, Korean and Taiwanese markets, Aloui et al (2018), for 6 emerging and 5 developed markets, Tarique and Malik (2018) on the BRICS economies, and Kutan et al (2018), in 7 emerging countries, i.e., Turkey, Poland and BRICS, In particular, Yarovaya et al (2016) findings demonstrate that markets are more susceptible to domestic and region-specific volatility shocks than to inter-regional contagion. Notice the (for these topics) unusual method by Aloui et al (2018) investigating the information transmission across stock indices and stock index futures through the wavelet technique.…”

Section: (4) Moreover Distinguishing Developing and Developed Markets Or Countriesmentioning

confidence: 99%

Stock index futures trading impact on spot price volatility. The CSI 300 studied with a TGARCH model

Ausloos

Zhang

Dhesi

2020

Expert Systems with Applications

View full text Add to dashboard Cite

“…The emergence of the stock index futures market has led many debates about the connection between the spot and futures market (Aloui, Hkiri, Lau, & Yarovaya, 2017;Bohl, Diesteldorf, & Siklos, 2015), as well as whether its appearance affects the stability of the financial market (Kutan, Shi, Wei, & Zhao, 2018; Jian, Wu, & Zhu, 2018). Aloui et al (2017) note that the interconnection between the spot and futures markets is different due to the difference in the levels of economic development or the level of market openness and trading volumes on futures markets among the countries. For instance, the intensity of information transmission between stock indexes and the stock index futures in the developed markets may be higher than in the emerging markets.…”

Section: Literature Reviewmentioning

confidence: 99%

Price discovery and information transmission across stock index futures: evidence from VN 30 Index Futures on Vietnam’s stock market

Nhung¹,

Anh

Nga³

et al. 2019

Investment Management and Financial Innovations

View full text Add to dashboard Cite

The introduction of the first tradable stock index futures of VN 30 is a very good signal showing that Vietnam is starting to have a high-level financial market, which brings many expectations about sustainable and safe development of its stock market. However, risk concerns of this type of derivative products have been raising with many claims since then. This article aims to provide empirical evidences to show if futures trading plays important role of price discovery and information transmission for spot market. Using daily data collected about VN 30 Index Futures, VN 30 Index, VN Index from August 10, 2017 to February 28, 2019, which is divided into three sub-periods (increase/decrease/recovery), the research verifies VN 30 Index Futures’ role of price discovery and information transmission by applying Vector Error Correction Model (VECM). Empirical findings show that there is a stable equilibrium relationship between the two series groups (including VN 30 Index Futures, VN 30 Index and VN 30 Index Futures and VN Index) during three sub-periods or spot and futures markets are integrated and synchronized. In particular, VN 30 Index Futures’ price discovery and information transmission are clearly seen when the market falls or does not change a lot.

show abstract

Information transmission across stock indices and stock index futures: International evidence using wavelet framework

Cited by 20 publications

References 45 publications

Stock market comovements among Asian emerging economies: A wavelet-based approach

Stock market comovements among Asian emerging economies: A wavelet-based approach

Stock index futures trading impact on spot price volatility. The CSI 300 studied with a TGARCH model

Price discovery and information transmission across stock index futures: evidence from VN 30 Index Futures on Vietnam’s stock market

Contact Info

Product

Resources

About