Wavelet analysis of the co-movement and lead-lag effect among multi-markets

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.