A wavelet analysis of co-movements in Asian gold markets

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

Research output: Contribution to journalArticle

12 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 languageEnglish
Pages (from-to)192-206
Number of pages15
JournalPhysica A: Statistical Mechanics and its Applications
Volume492
DOIs
Publication statusPublished - Feb 15 2018

Keywords

  • Asian gold market
  • Contagion
  • Wavelet

ASJC Scopus subject areas

  • Statistics and Probability
  • Condensed Matter Physics

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