International transmission of stock market movements: a wavelet analysis
This study investigates the international transmission mechanism of stock market movements via wavelet analysis. While GARCH-type models have mainly been used in most recent research in this area, the discrete wavelet decomposition is used in this study to propose a new methodology for investigating the dynamics and the potential interaction in international stock markets. Using the data on daily stock indices from the USA and Korea, strong evidence is found for price as well as volatility spillover effects from the developed stock market to the emerging market, but not vice versa.
Volume (Year): 11 (2004)
Issue (Month): 3 ()
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References listed on IDEAS
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- Kim, Sang W. & Rogers, John H., 1995.
"International stock price spillovers and market liberalization: Evidence from Korea, Japan, and the United States,"
Journal of Empirical Finance,
Elsevier, vol. 2(2), pages 117-133, June.
- Kim, S.W. & Rogers, J.H., 1993. "International Stock Price Spillovers and Market Liberalization: Evidence from Korea, Japan, and the United States," Papers 4-93-7, Pennsylvania State - Department of Economics.
- Sang W. Kim & John H. Rogers, 1995. "International stock price spillovers and market liberalization: evidence from Korea, Japan, and the United States," International Finance Discussion Papers 499, Board of Governors of the Federal Reserve System (U.S.).
- Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 241-256, June.
- Hamao, Yasushi & Masulis, Ronald W & Ng, Victor, 1990. "Correlations in Price Changes and Volatility across International Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 281-307.
- Booth, G. Geoffrey & Martikainen, Teppo & Tse, Yiuman, 1997. "Price and volatility spillovers in Scandinavian stock markets," Journal of Banking & Finance, Elsevier, vol. 21(6), pages 811-823, June.
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