Time-Frequency Wavelet Analysis of Stock Market Co-Movement Between and Within Geographic Trading Blocs PDF Download
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Author: Bilel Kaffel
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
In the context of globalization, through a growing process of market liberalization, advanced technology and economic trading bloc, national stock markets have become more interdependent, which limits the international portfolio diversification opportunities. This paper investigates the degree of stock market co-movement between and within thirteen developed European Union markets, six developing Latin American markets, two developed North American markets, ten developing Asian markets, Norway, Switzerland, Australia and Japan markets. The research methodology employed includes wavelet coherence, wavelet correlation and cross-correlation and wavelet multiple cross-correlation. Results show a positive correlation across intra and inter trading blocs in all investment horizons and over time, and they show that the linkage between stock returns increases with the time scale, implying that the international diversification benefits have largely disappeared in globalized world markets. Moreover, we found a high degree of co-movement at low frequencies in crisis and no crisis periods, which indicates a fundamental theoretical relationship between stock market returns. Finally, multiple cross-correlation analysis reveals a lead/lag relationship which provides information to international investors to manage their investment portfolios facing sudden changes, and it reveals that Frances' stock market is able to pull the other major world stock markets at lower and high frequencies.
Author: Bilel Kaffel
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
In the context of globalization, through a growing process of market liberalization, advanced technology and economic trading bloc, national stock markets have become more interdependent, which limits the international portfolio diversification opportunities. This paper investigates the degree of stock market co-movement between and within thirteen developed European Union markets, six developing Latin American markets, two developed North American markets, ten developing Asian markets, Norway, Switzerland, Australia and Japan markets. The research methodology employed includes wavelet coherence, wavelet correlation and cross-correlation and wavelet multiple cross-correlation. Results show a positive correlation across intra and inter trading blocs in all investment horizons and over time, and they show that the linkage between stock returns increases with the time scale, implying that the international diversification benefits have largely disappeared in globalized world markets. Moreover, we found a high degree of co-movement at low frequencies in crisis and no crisis periods, which indicates a fundamental theoretical relationship between stock market returns. Finally, multiple cross-correlation analysis reveals a lead/lag relationship which provides information to international investors to manage their investment portfolios facing sudden changes, and it reveals that Frances' stock market is able to pull the other major world stock markets at lower and high frequencies.
Author: Timotheos Paraskevopoulos
Publisher:
ISBN:
Category :
Languages : en
Pages : 31
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Book Description
We investigate the evolution of co-movement and lead-lag relationships between the nominal effective European exchange rate and the largest European stock markets in the time and frequency dimension. We decompose the financial return series into different time scales and apply the cross-wavelet coherence and phase difference. Within our sample set, which consists of daily data from 2000 to 2016, we observe patterns consistent with the notion of contagion, suggesting strong and sudden increases in the cross-market synchronization on particular frequency bands. Investigating the lead-lag relationships between both markets, we observe periods and frequencies where the causality runs from one variable to the other and vice-versa.
Author: Cheng Few Lee
Publisher: World Scientific
ISBN: 9811202400
Category : Business & Economics
Languages : en
Pages : 5053
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Book Description
This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.
Author: Tsangyao Chang
Publisher:
ISBN:
Category :
Languages : en
Pages : 34
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Book Description
This study applies wavelet analysis to examine the relationship between the U.S. real estate and stock markets over the period 1890-2012. Wavelet analysis allows the simultaneous examination of co-movement and causality between the two markets in both the time and frequency domains. Our findings provide robust evidence that co-movement and causality vary across frequencies and evolve with time. Examining market co-movement in the time domain, the two markets exhibit positive co-movement over recent past decades, exception for 1998-2002 when a high negative co-movement emerged. In the frequency domain, the two markets correlate with each other mainly at low frequencies (longer term), except in the second half of the 1900s as well as in 1998-2002, when the two markets correlate at high frequencies (shorter term). In addition, we find that the causal effects between the markets in the frequency domain occur generally at low frequencies (longer term). In the time-domain, the time-varying nature of long-run causalities implies structural changes in the two markets. These findings provide a more complete picture of the relationship between the U.S. real estate and stock markets over time and frequency, offering important implications for policymakers and practitioners.
Author: Mikko Ranta
Publisher:
ISBN: 9789524763035
Category : Finance
Languages : en
Pages : 121
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Book Description
Author: Francis In
Publisher: World Scientific
ISBN: 9814397830
Category : Business & Economics
Languages : en
Pages : 213
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Book Description
This book offers an introduction to wavelet theory and provides the essence of wavelet analysis including Fourier analysis and spectral analysis; the maximum overlap discrete wavelet transform; wavelet variance, covariance, and correlation in a unified and friendly manner. It aims to bridge the gap between theory and practice by presenting substantial applications of wavelets in economics and finance. This book is the first to provide a comprehensive application of wavelet analysis to financial markets, covering new frontier issues in empirical finance and economics. The first chapter of this unique text starts with a description of the key features and applications of wavelets. After an overview of wavelet analysis, successive chapters rigorously examine the various economic and financial topics and issues that stimulate academic and professional research, including equity, interest swaps, hedges and futures, foreign exchanges, financial asset pricing, and mutual fund markets. This detail-oriented text is descriptive and designed purely for academic researchers and financial practitioners. It assumes no prior knowledge of econometrics and covers important topics such as portfolio asset allocation, asset pricing, hedging strategies, new risk measures, and mutual fund performance. Its accessible presentation is also suitable for post-graduates in a variety of disciplines applied economics, financial engineering, international finance, financial econometrics, and fund management. To facilitate the subject of wavelets, sophisticated proofs and mathematics are avoided as much as possible when applying the wavelet multiscaling method. To enhance the reader's understanding in practical applications of the wavelet multiscaling method, this book provides sample programming instruction backed by Matlab wavelet code.
Author: Guy Nason
Publisher: Springer Science & Business Media
ISBN: 0387759611
Category : Mathematics
Languages : en
Pages : 259
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Book Description
This book contains information on how to tackle many important problems using a multiscale statistical approach. It focuses on how to use multiscale methods and discusses methodological and applied considerations.
Author: Tomas Kliestik
Publisher: MDPI
ISBN: 3036505369
Category : Business & Economics
Languages : en
Pages : 164
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Book Description
The purpose of the Special Issue “Quantitative Methods in Economics and Finance” of the journal Risks was to provide a collection of papers that reflect the latest research and problems of pricing complex derivates, simulation pricing, analysis of financial markets, and volatility of exchange rates in the international context. This book can be used as a reference for academicians and researchers who would like to discuss and introduce new developments in the field of quantitative methods in economics and finance and explore applications of quantitative methods in other business areas.
Author: Yacine Aït-Sahalia
Publisher: Princeton University Press
ISBN: 0691161437
Category : Business & Economics
Languages : en
Pages : 683
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Book Description
A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial data High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. Yacine Aït-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.
Author: Abdeldjalil Ouahabi
Publisher: John Wiley & Sons
ISBN: 1118568664
Category : Technology & Engineering
Languages : en
Pages : 260
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Book Description
Multiresolution analysis using the wavelet transform has received considerable attention in recent years by researchers in various fields. It is a powerful tool for efficiently representing signals and images at multiple levels of detail with many inherent advantages, including compression, level-of-detail display, progressive transmission, level-of-detail editing, filtering, modeling, fractals and multifractals, etc. This book aims to provide a simple formalization and new clarity on multiresolution analysis, rendering accessible obscure techniques, and merging, unifying or completing the technique with encoding, feature extraction, compressive sensing, multifractal analysis and texture analysis. It is aimed at industrial engineers, medical researchers, university lab attendants, lecturer-researchers and researchers from various specializations. It is also intended to contribute to the studies of graduate students in engineering, particularly in the fields of medical imaging, intelligent instrumentation, telecommunications, and signal and image processing. Given the diversity of the problems posed and addressed, this book paves the way for the development of new research themes, such as brain–computer interface (BCI), compressive sensing, functional magnetic resonance imaging (fMRI), tissue characterization (bones, skin, etc.) and the analysis of complex phenomena in general. Throughout the chapters, informative illustrations assist the uninitiated reader in better conceptualizing certain concepts, taking the form of numerous figures and recent applications in biomedical engineering, communication, multimedia, finance, etc.
