A wavelet analysis of co-movements in Asian gold markets

Debojyoti Das; M. Kannadhasan; Khamis Hamed Al-Yahyaee; Seong Min Yoon

doi:10.1016/j.physa.2017.09.061

A wavelet analysis of co-movements in Asian gold markets

Debojyoti Das^*, M. Kannadhasan, Khamis Hamed Al-Yahyaee, Seong Min Yoon

^*Corresponding author for this work

Economics & Finance

Research output: Contribution to journal › Article › peer-review

27 Citations (Scopus)

Abstract

This study assesses the cross-country co-movements of gold spot returns among the major gold consuming countries in Asia using wavelet-based analysis for a dataset spanning over 26 years. Wavelet-based analysis is used since it allows measuring co-movements in a time-frequency space. The results suggest intense and positive co-movements in Asia after the Asian financial crisis of 1997 at all frequencies. In addition, the Asian gold spot markets depict a state of impending perfect market integration. Finally, Thailand emerges as the potential market leader in all wavelet scales except one, which is led by India. The study has important implications for international diversification of a single-asset (gold) portfolio.

Original language	English
Pages (from-to)	192-206
Number of pages	15
Journal	Physica A: Statistical Mechanics and its Applications
Volume	492
DOIs	https://doi.org/10.1016/j.physa.2017.09.061
Publication status	Published - Feb 15 2018

Keywords

Asian gold market
Contagion
Wavelet

ASJC Scopus subject areas

Statistics and Probability
Condensed Matter Physics

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10.1016/j.physa.2017.09.061

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abstract = "This study assesses the cross-country co-movements of gold spot returns among the major gold consuming countries in Asia using wavelet-based analysis for a dataset spanning over 26 years. Wavelet-based analysis is used since it allows measuring co-movements in a time-frequency space. The results suggest intense and positive co-movements in Asia after the Asian financial crisis of 1997 at all frequencies. In addition, the Asian gold spot markets depict a state of impending perfect market integration. Finally, Thailand emerges as the potential market leader in all wavelet scales except one, which is led by India. The study has important implications for international diversification of a single-asset (gold) portfolio.",

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AU - Das, Debojyoti

AU - Kannadhasan, M.

AU - Al-Yahyaee, Khamis Hamed

AU - Yoon, Seong Min

PY - 2018/2/15

Y1 - 2018/2/15

N2 - This study assesses the cross-country co-movements of gold spot returns among the major gold consuming countries in Asia using wavelet-based analysis for a dataset spanning over 26 years. Wavelet-based analysis is used since it allows measuring co-movements in a time-frequency space. The results suggest intense and positive co-movements in Asia after the Asian financial crisis of 1997 at all frequencies. In addition, the Asian gold spot markets depict a state of impending perfect market integration. Finally, Thailand emerges as the potential market leader in all wavelet scales except one, which is led by India. The study has important implications for international diversification of a single-asset (gold) portfolio.

AB - This study assesses the cross-country co-movements of gold spot returns among the major gold consuming countries in Asia using wavelet-based analysis for a dataset spanning over 26 years. Wavelet-based analysis is used since it allows measuring co-movements in a time-frequency space. The results suggest intense and positive co-movements in Asia after the Asian financial crisis of 1997 at all frequencies. In addition, the Asian gold spot markets depict a state of impending perfect market integration. Finally, Thailand emerges as the potential market leader in all wavelet scales except one, which is led by India. The study has important implications for international diversification of a single-asset (gold) portfolio.

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A wavelet analysis of co-movements in Asian gold markets

Abstract

Keywords

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