The Asian crisis contagion: A dynamic correlation approach analysis

Essaadi, Essahbi; Jouini, Jamel; Khallouli, Wajih

doi:10.2298/pan0902241e

Cited by 15 publications

(6 citation statements)

References 24 publications

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“…However, the choice of window can seriously affect the dynamic correlation pattern (Essaadi et al. 2009 ). To overcome this limitation, we propose to measure the co-movement variability by the frequency approach.…”

Section: Empirical Methodologymentioning

confidence: 99%

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Hedging the Risks of MENA Stock Markets with Gold: Evidence from the Spectral Approach

2021

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In this paper, we contribute to the old debate on the dynamic correlation between gold and stock markets by considering a spectral approach within the framework of portfolio hedging. Specifically, we consider eight MENA stock markets (Tunisia, Egypt, Morocco, Jordan, UAE, Saudi Arabia, Qatar, and Oman) and examine the optimal composition between gold and the stock market index, with a minimum portfolio risk and a high expected return. Based on the spectral approach, we propose seven portfolio structures and evaluate them through a comparison with the conventional DCC-GARCH method and the most best 10 portfolios constructed by using wavelet approach. The main results show that the spectral-based approach outperforms the DCC-GARCH and the wavelet methods. In fact, the optimal gold-stock composition depends on the spectral density of each stock market index, where a stock market index with a stable spectral density requires more investments in gold than a stock market index with an unstable spectral density.

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Section: Empirical Methodologymentioning

confidence: 99%

“…In the time domain, a dynamic Pearson correlation can give us some crucial responses to this issue. However, the choice of window can seriously affect the dynamic correlation pattern (Essaadi et al 2009). To overcome this limitation, we propose to measure the co-movement variability by the frequency approach.…”

Section: A Time-varying Coherence Function (Tvcf)mentioning

confidence: 99%

Hedging the Risks of MENA Stock Markets with Gold: Evidence from the Spectral Approach

2021

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“…Our goal was to pinpoint the dates of change in comovements between two series, in two dimensions—namely, time and frequency. In the time domain, dynamic correlation can give us some responses to this issue, but the choice of window can seriously affect the dynamic correlation pattern (Essaadi, Jouini, & Khallouli, ). To overcome this limit, we propose a TVCF as a measure of comovement variability, using the frequency approach.…”

Section: Empirical Methodologymentioning

confidence: 99%

The feasibility of currency union in Gulf Cooperation Council countries: A business cycle synchronisation view

Essaadi

2017

World Economy

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This paper study the feasibility of a monetary union among Gulf Cooperation Council (GCC) countries, by measuring the evolution of economic integration among them. Considering the critical role of crisis and shocks in the integration process within the region, we determine whether GCC countries are characterised by a common business cycle. We suggest a different empirical approach that, unlike previous studies, allows one to endogenously detect structural changes in the comovement process between outputs. We apply a new measure for this region that is based on the time‐varying coherence function. Such a measure not only detects comovement dynamics but also distinguishes these dynamics in terms of short‐ and long‐term cycles. Additionally, we can test whether certain countries tend to be more synchronised. The main finding of this study is that not all GCC countries share a common short‐term business cycle. However, in the long term, all country‐pairs indicate a medium‐level synchronisation in the most recent subperiods. The new role of the United Arab Emirates’ regional trade platform allows it to strengthen long‐term business cycle comovement, thus differentiating it from other GCC country‐pairs that have shown a decline in the last two subperiods.

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“…An Asian crisis study prepared by Essahbi Essaadi, Jamel Jouini, and Wajih Khallouli (2009) point out some structural changes that followed the devaluation of the Thai baht in the links among the Asian countries. Yuanlong Ge, Holly H. Wang, and Sung K. Ahn (2010) find that the changes in China's exchange rate regimes and cotton trade liberalization made significant influences on the cotton future markets, especially in the US market.…”

Section: The Literature On Exchange Rates Exports and Inventoriesmentioning

confidence: 99%

Inventories of Asian textile producers, US cotton exports, and the exchange rate

Durmaz

2014

Panoeconomicus

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The present paper develops a model with US cotton exports depending on the stock-to-use ratio, trade weighted exchange rates, and the relative cotton prices. The role of inventories in cotton consumption is examined in five textile producing cotton importers, China, Indonesia, Thailand, South Korea, and Taiwan. Cotton inventory dynamics is diverse among Asian textile producers. Relative prices have negative effect in all markets as expected. Exchange rate elasticities show that effects should be examined for each separate market. Changes in rates of depreciation also have stronger effects than exchange rate. Results reveal that these countries are not all that homogenous.

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The Asian crisis contagion: A dynamic correlation approach analysis

Cited by 15 publications

References 24 publications

Hedging the Risks of MENA Stock Markets with Gold: Evidence from the Spectral Approach

Hedging the Risks of MENA Stock Markets with Gold: Evidence from the Spectral Approach

The feasibility of currency union in Gulf Cooperation Council countries: A business cycle synchronisation view

Inventories of Asian textile producers, US cotton exports, and the exchange rate

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