Wavelet analysis of the co-movement and lead–lag effect among multi-markets

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.

• Publication year

  2018

• Venue

  Physica A: Statistical Mechanics and its Applications

• Publication date

  2018-12-01

• Fields of study

  Economics

• Identifiers
  DOI 10.1016/J.PHYSA.2018.08.102
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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