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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| Format: | Proceeding Paper |
| Language: | English English |
| Published: |
2016
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| Online Access: | 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 |
| _version_ | 1848784257755906048 |
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| author | Saiti, Buerhan |
| author_facet | Saiti, Buerhan |
| author_sort | Saiti, Buerhan |
| building | IIUM Repository |
| collection | Online Access |
| 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. |
| first_indexed | 2025-11-14T16:34:23Z |
| format | Proceeding Paper |
| id | iium-53603 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English English |
| last_indexed | 2025-11-14T16:34:23Z |
| publishDate | 2016 |
| recordtype | eprints |
| repository_type | Digital Repository |
| 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 Proceeding Paper 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 |
| spellingShingle | HG4501 Stocks, investment, speculation Saiti, Buerhan The lead-lag relationship among East Asian economies: a wavelet analysis |
| title | 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_short | The lead-lag relationship among East Asian economies: a wavelet analysis |
| title_sort | lead-lag relationship among east asian economies: a wavelet analysis |
| topic | HG4501 Stocks, investment, speculation |
| 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 |