کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7374471 | 1480061 | 2018 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Wavelet analysis of the co-movement and lead-lag effect among multi-markets
ترجمه فارسی عنوان
تجزیه و تحلیل موجک حرکت متحرک و اثر انقباض سرب در چند بازار
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
چکیده انگلیسی
Recent literature draws attention to the relationship of some financial markets, in particular, both the co-movement and the lead-lag effect. This paper examines the weekly frequency market indices of Japan, Singapore, Hong Kong and China over the period 2000-2013 using wavelet analysis. The Morlet wavelet coherence model is employed since it allows the simultaneous examination of co-movement and lead-lag effect between the two markets in both the time and frequency domains. Our results show there exist a strong co-movement between stock markets of Japan, Singapore, Hong Kong and China in the long run and Japan leads the other markets in the long term.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 512, 15 December 2018, Pages 489-499
Journal: Physica A: Statistical Mechanics and its Applications - Volume 512, 15 December 2018, Pages 489-499
نویسندگان
Qi Sun, Weidong Xu,