Systematic Risk and Time Scales: New Evidence from an Application of Wavelet Approach to the Emerging Gulf Stock Markets

Masih, Abul; Alzahrani, Mohammed; Al‐Titi, Omar

doi:10.2139/ssrn.2089814

Cited by 11 publications

(12 citation statements)

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“…In a comprehensive study by Conlon and Cotter [41], the efficacy of hedging in different ranges of hedge horizons was explored through wavelet transform tool, and as a result, the concept of ''time diversification" was verified. Masih, Alzahrani [42], used wavelet-based techniques to analyze systematic risk variation, for the financial GCC (Gulf Cooperation Council) it was determined that VaR (Value at Risk) is comparatively more intense at higher frequencies. Trimech, Kortas [43] utilized wavelet models by combining it with the Fama-French three-factor model.…”

Section: Related Literature and Research Motivationsmentioning

confidence: 99%

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

et al. 2020

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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.

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Section: Related Literature and Research Motivationsmentioning

confidence: 99%

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

et al. 2020

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“…Wavelet analysis was introduced to economics by Ramsey and Lampart (1998a, b), who used it to analyze the money-income and money-expenditure relationships. Recently they have been applied by Rua andNunes (2009), Jammazi andAloui (2010) and Masih, Alzahrani and Al-Titi (2010).…”

Section: Wavelet Transformmentioning

confidence: 99%