The lead-lag relationship among East Asian economies: a wavelet analysis

Recently, the issue of market linkages (and price discovery) between stock indices and the lead-lag relationship is a topic of interest to financial economists, financial managers and analysts, especially that involves the East Asian countries. In this study, to investigate the financial market l...

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Main Author:	Saiti, Buerhan
Format:	Conference or Workshop Item
Language:	English English
Published:	2016
Subjects:	HG4501 Stocks, investment, speculation
Online Access:	http://irep.iium.edu.my/53603/ http://irep.iium.edu.my/53603/ http://irep.iium.edu.my/53603/1/Dr.%20Buerhan%20Saiti%20%281%29.pdf http://irep.iium.edu.my/53603/2/4th%20AICIF.pdf

id	iium-53603
recordtype	eprints
spelling	iium-536032016-12-15T01:44:53Z http://irep.iium.edu.my/53603/ The lead-lag relationship among East Asian economies: a wavelet analysis Saiti, Buerhan HG4501 Stocks, investment, speculation Recently, the issue of market linkages (and price discovery) between stock indices and the lead-lag relationship is a topic of interest to financial economists, financial managers and analysts, especially that involves the East Asian countries. In this study, to investigate the financial market leader in East Asian countries after the US financial crisis, we employ several conventional time-series techniques and a newly introduced method – wavelet analysis - to economics and finance. Daily return data covering the period from 15th September 2008 to 1st March 2016 for five major international stock price indices in East Asia are analyzed. Our findings tend to, more or less, suggest that the Shanghai stock exchange composite index is the only exogenous variable, whereas the remaining variables are endogenous. Such finding implies that the Shanghai stock exchange composite index is the financial market leader whereas the rest of variables are follower, which includes Nikkei 225 (Japan). In order to check the robustness of our results, we also employed wavelet correlation and cross-correlation techniques. Interestingly, based on the results, the leading role of Shanghai Stock Exchange Composite Index is very clear at short scales; whereas, the leading role disappears at the long scales. 2016 Conference or Workshop Item NonPeerReviewed application/pdf en http://irep.iium.edu.my/53603/1/Dr.%20Buerhan%20Saiti%20%281%29.pdf application/pdf en http://irep.iium.edu.my/53603/2/4th%20AICIF.pdf Saiti, Buerhan (2016) The lead-lag relationship among East Asian economies: a wavelet analysis. In: 4th ASEAN International conference on Islamic Finance (4th AICIF 2016), 6th-8th Dec. 2016, Melaka. (Unpublished) http://www.iium.edu.my/iiibf/events/4th-asean-international-conference-islamic-finance-4th-aicif-2016
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English English
topic	HG4501 Stocks, investment, speculation
spellingShingle	HG4501 Stocks, investment, speculation Saiti, Buerhan The lead-lag relationship among East Asian economies: a wavelet analysis
description	Recently, the issue of market linkages (and price discovery) between stock indices and the lead-lag relationship is a topic of interest to financial economists, financial managers and analysts, especially that involves the East Asian countries. In this study, to investigate the financial market leader in East Asian countries after the US financial crisis, we employ several conventional time-series techniques and a newly introduced method – wavelet analysis - to economics and finance. Daily return data covering the period from 15th September 2008 to 1st March 2016 for five major international stock price indices in East Asia are analyzed. Our findings tend to, more or less, suggest that the Shanghai stock exchange composite index is the only exogenous variable, whereas the remaining variables are endogenous. Such finding implies that the Shanghai stock exchange composite index is the financial market leader whereas the rest of variables are follower, which includes Nikkei 225 (Japan). In order to check the robustness of our results, we also employed wavelet correlation and cross-correlation techniques. Interestingly, based on the results, the leading role of Shanghai Stock Exchange Composite Index is very clear at short scales; whereas, the leading role disappears at the long scales.
format	Conference or Workshop Item
author	Saiti, Buerhan
author_facet	Saiti, Buerhan
author_sort	Saiti, Buerhan
title	The lead-lag relationship among East Asian economies: a wavelet analysis
title_short	The lead-lag relationship among East Asian economies: a wavelet analysis
title_full	The lead-lag relationship among East Asian economies: a wavelet analysis
title_fullStr	The lead-lag relationship among East Asian economies: a wavelet analysis
title_full_unstemmed	The lead-lag relationship among East Asian economies: a wavelet analysis
title_sort	lead-lag relationship among east asian economies: a wavelet analysis
publishDate	2016
url	http://irep.iium.edu.my/53603/ http://irep.iium.edu.my/53603/ http://irep.iium.edu.my/53603/1/Dr.%20Buerhan%20Saiti%20%281%29.pdf http://irep.iium.edu.my/53603/2/4th%20AICIF.pdf
first_indexed	2023-09-18T21:15:49Z
last_indexed	2023-09-18T21:15:49Z
_version_	1777411554342338560

The lead-lag relationship among East Asian economies: a wavelet analysis

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