Has co-movement dynamics in emerging stock markets changed after global financial crisis? New evidence from wavelet analysis

Debojyoti Das, M. Kannadhasan, Aviral Kumar Tiwari, Khamis Hamed Al-Yahyaee

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

In this article, we revisit the issue of contagion, interdependence and changes in correlation structure after the Global Financial Crisis (GFC) of 2008 between developed and emerging markets in a time-frequency domain using a wavelet-based approach for the period spanning over 1 January 1999 to 8 November 2016. We report evidences of: (a) weaker contagion for Latin American emerging markets during GFC, (b) a strong contagion effect for emerging markets in Europe and the Middle East and (c) a fall in long-run co-movements after GFC, which means by investing in emerging markets, the diversification benefits can be derived in the long run. We report evidence of coexistence of contagion and permanent change in correlation structure.

Original languageEnglish
Pages (from-to)1-7
Number of pages7
JournalApplied Economics Letters
DOIs
Publication statusAccepted/In press - Jan 25 2018

Fingerprint

Wavelet analysis
Comovement
Emerging markets
Global financial crisis
Emerging stock markets
Contagion
Correlation structure
Middle East
Wavelets
Diversification benefits
Investing
Contagion effect
Interdependence
Frequency domain
Coexistence

Keywords

  • co-movement
  • contagion
  • Emerging markets
  • wavelet

ASJC Scopus subject areas

  • Economics and Econometrics

Cite this

Has co-movement dynamics in emerging stock markets changed after global financial crisis? New evidence from wavelet analysis. / Das, Debojyoti; Kannadhasan, M.; Tiwari, Aviral Kumar; Al-Yahyaee, Khamis Hamed.

In: Applied Economics Letters, 25.01.2018, p. 1-7.

Research output: Contribution to journalArticle

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