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A wavelet analysis of co-movements in Asian gold markets

Author

Listed:
  • Das, Debojyoti
  • Kannadhasan, M.
  • Al-Yahyaee, Khamis Hamed
  • Yoon, Seong-Min

Abstract

This study assesses the cross-country co-movements of gold spot returns among the major gold consuming countries in Asia using wavelet-based analysis for a dataset spanning over 26 years. Wavelet-based analysis is used since it allows measuring co-movements in a time-frequency space. The results suggest intense and positive co-movements in Asia after the Asian financial crisis of 1997 at all frequencies. In addition, the Asian gold spot markets depict a state of impending perfect market integration. Finally, Thailand emerges as the potential market leader in all wavelet scales except one, which is led by India. The study has important implications for international diversification of a single-asset (gold) portfolio.

Suggested Citation

  • Das, Debojyoti & Kannadhasan, M. & Al-Yahyaee, Khamis Hamed & Yoon, Seong-Min, 2018. "A wavelet analysis of co-movements in Asian gold markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 492(C), pages 192-206.
    • Handle: RePEc:eee:phsmap:v:492:y:2018:i:c:p:192-206
    DOI: 10.1016/j.physa.2017.09.061
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    Citations

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    Cited by:

    1. Huang, Xiaohong & Huang, Shupei, 2020. "Identifying the comovement of price between China's and international crude oil futures: A time-frequency perspective," International Review of Financial Analysis, Elsevier, vol. 72(C).
    2. Eman F. Attia & Sharihan Mohamed Aly & Ahmed said ElRawas & Ebtehal Orabi Awad, 2023. "Portfolio diversification benefits before and during the times of COVID-19: evidence from USA," Future Business Journal, Springer, vol. 9(1), pages 1-15, December.
    3. Mukesh Kumar & Sanjeev Prashar & RK Jana, 2019. "Does international tourism spur international trade and output? Evidence from wavelet analysis," Tourism Economics, , vol. 25(1), pages 22-33, February.
    4. Abhibasu Sen & Prof. Karabi Dutta Chaudhury, 2019. "On the Co-movement of Crude, Gold Prices and Stock Index in Indian Market," Papers 1904.05317, arXiv.org.
    5. Tweneboah, George & Alagidede, Paul, 2018. "Interdependence structure of precious metal prices: A multi-scale perspective," Resources Policy, Elsevier, vol. 59(C), pages 427-434.
    6. Mutascu, Mihai, 2018. "A time-frequency analysis of trade openness and CO2 emissions in France," Energy Policy, Elsevier, vol. 115(C), pages 443-455.
    7. Tweneboah, George & Owusu Junior, Peterson & Kumah, Seyram Pearl, 2020. "Modelling the asymmetric linkages between spot gold prices and African stocks," Research in International Business and Finance, Elsevier, vol. 54(C).
    8. Das, Debojyoti & Bhowmik, Puja & Jana, R.K., 2018. "A multiscale analysis of stock return co-movements and spillovers: Evidence from Pacific developed markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 379-393.
    9. Bhatia, Vaneet & Das, Debojyoti & Kumar, Surya Bhushan, 2020. "Hedging effectiveness of precious metals across frequencies: Evidence from Wavelet based Dynamic Conditional Correlation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
    10. Roy, Archi & Soni, Anchal & Deb, Soudeep, 2023. "A wavelet-based methodology to compare the impact of pandemic versus Russia–Ukraine conflict on crude oil sector and its interconnectedness with other energy and non-energy markets," Energy Economics, Elsevier, vol. 124(C).
    11. Ghosh, Indranil & Datta Chaudhuri, Tamal & Alfaro-Cortés, Esteban & Gámez Martínez, Matías & García Rubio, Noelia, 2021. "Estimating the relative effects of raw material prices, sectoral outlook and market sentiment on stock prices," Resources Policy, Elsevier, vol. 73(C).
    12. Das, Debojyoti & Maitra, Debasish & Dutta, Anupam & Basu, Sankarshan, 2022. "Financial stress and crude oil implied volatility: New evidence from continuous wavelet transformation framework," Energy Economics, Elsevier, vol. 115(C).

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