Interdependence between oil and East Asian stock markets: Evidence from wavelet coherence analysis

Cai, Xiao Jing; Tian, Shuairu; Yuan, Nannan; Hamori, Shigeyuki

doi:10.1016/j.intfin.2017.02.001

Cited by 82 publications

(28 citation statements)

References 27 publications

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“…There are also several studies in the existing literature that used similar methodologies to estimate the co-movement of sukuk and conventional bonds, including Kristoufek (2015), Tian et al (2016), Cai et al (2017), Phillips and Gorse (2018), and Buriev et al (2018). For the South Asian countries, Najeeb et al (2015) examined portfolio diversification by employing the M-GARCH-DCC and wavelet correlation methods.…”

Section: Empirical Literaturementioning

confidence: 99%

See 1 more Smart Citation

A Wavelet-Based Analysis of the Co-Movement between Sukuk Bonds and Shariah Stock Indices in the GCC Region: Implications for Risk Diversification

Nasreen

Naqvi

Tiwari

et al. 2020

JRFM

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Investors are interested in knowing whether sukuk bonds and shariah stock indices in the Gulf Corporation Council (GCC) region are related. This study examines the connectedness between the sukuk- and shariah-compliant stock indices in the GCC financial markets. Bivariate and multivariate wavelet approaches are applied to the daily data covering the period 10 July 2008 to 15 May 2017. The empirical findings demonstrate a strong correlation between these GCC sukuk bond indices and shariah stock indices. The degree of connectedness between these sukuk and shariah stock indices varies across time and scale. A strong and positive association is observed in the short term and a negative association is evident in the long term. The same findings are observed, using the wavelet cohesion approach that also validates the existence of portfolio diversification opportunities at a short-time horizon. The multivariate cross-correlation analysis reveals that these sukuk and shariah stock markets are highly integrated across time and scale. Furthermore, the value at risk (VaR) for the sukuk bond–shariah stocks portfolio is performed to highlight the significance of the wavelet analysis. The outcomes show that portfolio stocks are variable with respect to time or scale (time diversification). Overall, analyzing the sukuk bond–shariah stock index returns in the GCC at a multiscale level makes it easier for financial agents dealing with heterogeneous trading horizons to assess the benefits of diversifications.

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Section: Empirical Literaturementioning

confidence: 99%

“…They concluded that there were recurrent variations in the pattern of the co-movement for all the selected markets at higher frequencies. Kristoufek (2015), Tian et al (2016), Cai et al (2017), and Phillips and Gorse (2018) also applied the same methodology in their studies.…”

Section: Empirical Literaturementioning

confidence: 99%

A Wavelet-Based Analysis of the Co-Movement between Sukuk Bonds and Shariah Stock Indices in the GCC Region: Implications for Risk Diversification

Nasreen

Naqvi

Tiwari

et al. 2020

JRFM

View full text Add to dashboard Cite

show abstract

“…constitutes an MODWT multi-resolution analysis analogous to Equation (12). Due to the limitation of the DWT that restricts the sample size to an integer multiple of 2, the MODWT is used in this study.…”

Section: Modwt and Modwt-based Multi-resolution Analysismentioning

confidence: 99%

“…Over the previous decades, East Asian has experienced the fastest economic growth in the world and become one of the three core economic regions [10]. Its miraculous economic growth and dynamism has attracted increasing attention of business interest and academic research [11,12]. The demand for oil of East Asia has been increasing for years.…”

Section: Introductionmentioning

confidence: 99%

Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management

et al. 2020

Self Cite

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This paper examines the dynamic dependence structure of crude oil and East Asian stock markets at multiple frequencies using wavelet and copulas. We also investigate risk management implications and diversification benefits of oil-stock portfolios by calculating and comparing risk and tail risk hedging performance. Our results provide strong evidence of time-varying dependence and asymmetric tail dependence between crude oil and East Asian stock markets at different frequencies. The level and fluctuation of their dependencies increase as time scale increases. Furthermore, we find the time-varying hedging benefits differ at investment horizons and reduced over the long run. Our results suggest that crude oil could be used as a hedge and safe haven against East Asian stock markets, especially in the short- and mid-term.

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“…Aloui and Aïssa [41] also provided evidence that the dynamics between stocks and oil prices are not constant over time, and the dependence structure of this was significantly affected by the 2007-2009 financial crisis. Cai et al [42] analyzed the interdependence between oil and East Asian stock returns using wavelet techniques.…”

Section: Introductionmentioning

confidence: 99%

Determinants of the Long-Term Correlation between Crude Oil and Stock Markets

Yang

et al. 2019

Energies

Self Cite

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This study employed a dynamic conditional correlation–mixed-data sampling (DCC–MIDAS) approach and panel data analysis to examine the factors that influence the long-term correlation between crude oil and stock markets. Our study shows that there is a positive long-term conditional correlation between oil prices and stock markets, except during the 2008 global financial crisis and the 2011 European debt crisis. We also found that macroeconomic factors have a significant impact on this correlation. Specifically, risk-free rate has a positive effect, whereas economic activity and credit risk has a negative effect. Our results provide useful information for investors and monetary authorities.

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Interdependence between oil and East Asian stock markets: Evidence from wavelet coherence analysis

Cited by 82 publications

References 27 publications

A Wavelet-Based Analysis of the Co-Movement between Sukuk Bonds and Shariah Stock Indices in the GCC Region: Implications for Risk Diversification

A Wavelet-Based Analysis of the Co-Movement between Sukuk Bonds and Shariah Stock Indices in the GCC Region: Implications for Risk Diversification

Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management

Determinants of the Long-Term Correlation between Crude Oil and Stock Markets

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