CROSS CORRELATIONS BETWEEN MSCI EMERGING MARKETS INDICES AND US STOCK MARKET INDEX: EVIDENCE FROM MODWT
Küçük Resim Yok
Tarih
2023
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Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
MSCI Emerging Market Indices are developed for international investors to evaluate investment opportunities in developing countries and provide the investor with an opportunity for foresight. Due to the rapid globalization and contagion effects in financial markets, studies on MSCI Emerging Market Indices have attracted great interest in recent years. This study aims to investigate the long-memory characteristics of emerging market volatility and to show the existence of cross-correlations between Emerging Markets and the US stock market. For this purpose, Maximum Overlapping Discrete Wavelet Transform (MODWT), which is widely used in estimations in the field of finance, has been applied. MODWT, which can be used with all the features in the time series, is used in all scale dimensions. In addition, MODWT enables to produce asymptotically more efficient wavelet variance estimators. In the study, MSCI indices of seven emerging markets are used by considering the period between 2 May 2014 and 25 October 2018. The findings show that volatility in all emerging markets is stable and short-memory. There is also evidence of high and time-bound correlations between the US and Emerging Markets.
Açıklama
Anahtar Kelimeler
Kaynak
Doğuş Üniversitesi Dergisi
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Cilt
24
Sayı
1
