Dependence structures between Chinese stock markets and the international financial market: Evidence from a wavelet-based quantile regression approach

Yang, Lu; Tian, Shuairu; Yang, Wei; Xu, Mingli; Hamori, Shigeyuki

doi:10.1016/j.najef.2018.02.005

Cited by 38 publications

(11 citation statements)

References 39 publications

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“…However, for many economic variables, time domain analysis does not always portray the true picture of the relationship as it may be hidden in the frequency contents of variables. Wavelet analysis helps in studying the variable in more depth as it can decompose the time series (Gençay et al 2003;Yang et al 2018;Cai et al 2020).…”

Section: What Is Wavelet Transformation?mentioning

confidence: 99%

Investigating the Causal Linkages among Inflation, Interest Rate, and Economic Growth in Pakistan under the Influence of COVID-19 Pandemic: A Wavelet Transformation Approach

Hayat

Ghulam

Batool

et al. 2021

JRFM

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This research is the earliest attempt to understand the impact of inflation and the interest rate on output growth in the context of Pakistan using the wavelet transformation approach. For this study, we used monthly data on inflation, the interest rate, and industrial production from January 1991 to May 2020. The COVID-19 pandemic has affected economies around the world, especially in view of the measures taken by governmental authorities regarding enforced lockdowns and social distancing. Traditional studies empirically explored the relationship between these important macroeconomic variables only for the short run and long run. Firstly, we employed the autoregressive distributed lag (ARDL) cointegration test and two causality tests (Granger causality and Toda–Yamamoto) to check the cointegration properties and causal relationship among these variables, respectively. After confirming the long-run causality from the ARDL bound test, we decomposed the time series of growth, inflation, and the interest rate into different time scales using wavelet analysis which allows us to study the relationship among variables for the very short run, medium run, long run, and very long run. The continuous wavelet transform (CWT), the cross-wavelet transform (XWT), cross-wavelet coherence (WTC), and multi-scale Granger causality tests were used to investigate the co-movement and nature of the causality between inflation and growth and the interest rate and growth. The results of the wavelet and multi-scale Granger causality tests show that the causal relationship between these variables is not the same across all time horizons; rather, it is unidirectional in the short-run and medium-run but bi-directional in the long-run. Therefore, this study suggests that the central bank should try to maintain inflation and the interest rate at a low level in the short run and medium run instead of putting too much pressure on these variables in the long-run.

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Section: What Is Wavelet Transformation?mentioning

confidence: 99%

Investigating the Causal Linkages among Inflation, Interest Rate, and Economic Growth in Pakistan under the Influence of COVID-19 Pandemic: A Wavelet Transformation Approach

Hayat

Ghulam

Batool

et al. 2021

JRFM

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“…The rational return of stockholders is to buy stocks, then investors will pay more attention to stock dividends. In order to increase the stock price, listed companies must increase the distribution of cash per share [30]. In this way, those companies that only want to make money from the stock market through fraud will fall and the interests of the counterfeiters will be impaired, which will have a certain inhibitory effect on stock market fraud [31].…”

Section: Game Model Suitable For China's Current Marketmentioning

confidence: 99%

Research on Sustainable Development of the Stock Market Based on VIX Index

Ruan

2018

Sustainability

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The frequent occurrence of financial crises has made the dynamic linkage between international financial markets an important research topic. In the past, scholars mostly studied the correlation between financial markets directly, however ignored the impact of exogenous financial variables on financial markets. The stock market is an important part of the financial market and plays an important role in the overall economy. Information asymmetry is common and has a certain degree of impact on investors' returns. However, many scholars believe that the problem of information asymmetry in China has seriously negatively impacted investors, forming an unsustainable state. At present, there are still many problems in the Chinese stock market, especially the stock market fraud, which brings great challenges to the sustainable development of the stock market. Based on the idea of the STCC model, it is assumed that the Copula parameter is affected by the exogenous variables and the time-varying dynamic Copula model-ST-VCopula model is established. Based on the model, the influence of market volatility (VIX index) on the stock market is explored and then the stock index data of several countries are empirically analyzed. The empirical results show that the VIX index has a significant impact on the linkage between stock markets. The VIX index is easy and more intuitive to obtain, providing another way for the dynamic linkage research between the market, which can provide investors with some guidance and advice when conducting financial activities such as diversification.

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“…Future studies can concentrate on the flow of information between BRICS stocks and macroeconomic variables before and during the COVID-19 pandemic period to assess how the COVID-19 has influenced this established relationship using more advanced decomposition techniques since information flows are richer at multiscales [1,34]. e analyses could also be performed using wavelet techniques to address time and/frequency dimensions [47,53,[93][94][95], or copula models [96], Markov-switching models [97], and dynamic conditional correlation [36,98].…”

Section: Discussionmentioning

confidence: 99%

A CEEMDAN‐Based Entropy Approach Measuring Multiscale Information Flow between Macroeconomic Conditions and Stock Returns of BRICS

et al. 2022

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We model a mixture of asymmetric and nonlinear bidirectional and unidirectional causality between four macroeconomic variables (exchange rate, GDP, global economic policy uncertainty, and relative CPI) and stock returns of BRICS economies in the frequency-domain using the information flow theory. The Complete Ensemble Empirical Mode Decomposition with Adaptive Noise (CEEMDAN)-based Rényi effective transfer entropy approach is used to establish dynamic flow of information between macroeconomic variables and stock returns of BRICS. The original return series suggested insignificant information flow between most macroeconomic variables and stock returns. However, we reveal both asymmetric and tail dependent analyses at diverse scales between macroeconomic variables and stock returns of BRICS economies. Moreover, we find negative significant flow of information between the variables, in that knowing the history of one variable (either stock or macroeconomic variable), in this case, indicates considerably more uncertainty than knowing the history of only the other variable (either stock or macroeconomic variable). We also observe that global economic policy uncertainty has the most significant adverse causal relationship with stock returns of BRICS, especially in the long term. These results have important implications that investors and policymakers should take into account. Regulators should consider instituting sound policy actions geared towards minimising long-term effects of external shocks and uncertainties.

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Dependence structures between Chinese stock markets and the international financial market: Evidence from a wavelet-based quantile regression approach

Cited by 38 publications

References 39 publications

Investigating the Causal Linkages among Inflation, Interest Rate, and Economic Growth in Pakistan under the Influence of COVID-19 Pandemic: A Wavelet Transformation Approach

Investigating the Causal Linkages among Inflation, Interest Rate, and Economic Growth in Pakistan under the Influence of COVID-19 Pandemic: A Wavelet Transformation Approach

Research on Sustainable Development of the Stock Market Based on VIX Index

A CEEMDAN‐Based Entropy Approach Measuring Multiscale Information Flow between Macroeconomic Conditions and Stock Returns of BRICS

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