IDEAS home Printed from https://ideas.repec.org/a/ebl/ecbull/eb-24-00469.html
   My bibliography  Save this article

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
    as

    Download full text from publisher

    File URL: http://www.accessecon.com/Pubs/EB/2025/Volume45/EB-25-V45-I1-P15.pdf
    Download Restriction: no
    ---><---

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-24-00469. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: John P. Conley (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.