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A wavelet coherence approach to analyze contagion between equity markets during three major crises

Author

Listed:
  • Montassar Riahi

    (Univ. Manouba, ESCT, LARIMRAF LR21ES29, Tunisia ; Université de Poitiers, CEREGE, UR 13564, France)

  • Sophie Nivoix

    (Université de Poitiers, CEREGE, UR 13564, France)

  • Olfa Belhassine

    (Univ. Manouba, ESCT, LARIMRAF LR21ES29, Tunisia)

Abstract

Financial crises and their contagion are a major area of financial market research. Our study makes a twofold contribution. Not only does it analyze the interdependence between markets in countries that are source of contagion and those suffering from it, but it innovates by focusing on three recent crises, namely the 2008 global financial crisis (GFC), the Covid-19 and the Russian-Ukrainian War. To this end we use the wavelet coherence method on a sample of G7 country indices plus the Chinese Shanghai Stock Exchange and the Russian Moscow Exchange indices. The results indicate the presence of contagion from the US market to other financial markets, and significant co-movements between stock market indices during the GFC. As regard the Covid-19 crisis, we find that contagion effects are less noticeable, making us unable to identify leader and follower markets. During the Russian-Ukrainian War, the Russian market shows a lower degree of interdependence with other financial markets, and that there is no real contagion from this market to the G7 or Chinese markets.

Suggested Citation

  • Montassar Riahi & Sophie Nivoix & Olfa Belhassine, 2025. "A wavelet coherence approach to analyze contagion between equity markets during three major crises," Economics Bulletin, AccessEcon, vol. 45(1), pages 139-149.
    • Handle: RePEc:ebl:ecbull:eb-24-00469
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    References listed on IDEAS

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    More about this item

    Keywords

    Contagion; Wavelet approach; Equity markets; Financial crisis; Covid-19; Russian-Ukrainian war;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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