Stock Market Integration in Asian Countries: evidence from Wavelet multiple correlations

Abstract

This study examines the integration of nine Asian stock markets using the new methodology of wavelet multiple correlation and multiple cross-correlation proposed by Fernandez (2012). This novel approach eliminates several limitations which are encountered when conventional pairwise wavelet correlation and cross-correlation are used to assess the comovement of a set of stock indices. Our results show that Asian stock markets are highly integrated at lower frequencies and comparatively less integrated at higher frequencies. From the perspective of international investors, the Asian stock markets therefore offer little potential gains from international portfolio diversification especially for monthly, quarterly, and biannual time horizon investors, whereas, higher potential gains are expected at intraweek, weekly, and fortnightly time horizons.

Stock market integration in Africa: Further evidence from an information‐theoretic framework

“…The results depicted in Figure 3 are qualitatively comparable to Tweneboah et al (2019). The WMCs shown in Figure 3 across the wavelet scales are low compared to coefficients reported in the Eurozone (between 0.96 and 1 from the lowest wavelet scale to the highest wavelet scale; Fernández-Macho, 2012) and Asia (between 0.8 and 0.95 from the lowest wavelet scale to the highest wavelet scale; Kumar Tiwari et al, 2013). This shows evidence of weak stock market integration in Africa compared to other regions.…”

“…Kenya and South Africa, respectively, used $91 million and $87 million US dollars' worth of Kenyan shillings and South African rand for Bitcoin purchases on online exchanges (de Best, 2021). Following Tiwari et al (2013), to address missing data due to different public holidays in African stock markets, some daily observations were deleted. Our sample period runs from the 1st of September 2011 to the 11th of November 2021.…”

“…Most of these studies conclude that African stock exchanges are weakly integrated and are largely segmented from developed exchanges. Though some studies show improved WMCs at lower frequencies (e.g., Tweneboah et al, 2019), the correlations are still low compared to other regions, such as Asia (Tiwari et al, 2013) and the Eurozone (Fernández-Macho, 2012). We extend existing empirical studies by utilizing an alternative framework (information theory) that accurately quantifies and shows the direction of information flow between random variables.…”

Co-Movement among World Vegetable Oil Prices: A Wavelet-Based Analysis

“…Following recent trend in analyzing market integration, this research employs the Wavelet Multiple Correlation (WMC) and Wavelet Multiple Cross-Correlation (WMCC) techniques (Fernández-Macho, 2012;Kumar Tiwari, Billah Dar, Bhanja, & Shah, 2013;Andrieş, Ihnatov, & Tiwari, 2016). We defined the wavelet coefficients X6 for the respective scales X in a multivariate stochastic process 6 = ( 06 , … , >6 ) to each \6 process by applying MODWT.…”

Untitled

“…1. For a detailed discussion on methodology refer (Andrieş et al, 2016;Ko & Lee, 2015;Kumar Tiwari, Billah Dar, Bhanja, & Shah, 2013;Vacha & Barunik, 2012). 2.…”