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|標題:||Comovement of international financial markets: A wavelet analysis on commodity, currency and stock markets
|關鍵字:||comovement;小波分析;wavelet analysis;correlation coefficient;causality;連動性;相關係數;因果關係||出版社:||財務金融系所||引用:||Aggarwal, R., 1981. Exchange rates and stock prices: A study of the United States capital market under floating exchange rates. Akron Business and Economic Review, 12(fall), pp.7-12. Ahmet, B., 2010. The Causal Relationship between Stock Prices and Macroeconomic Variables: A Case Study for Turkey. International Journal of Economics Perspectives. Amano, R.A. & Norden, S.,1998. Exchange rates and oil prices. Review of International Economics, 6(4), pp.683-694. Amano, R.A. & Norden, S.,1998. Oil prices and rise and fall of the US real exchange rate. Journal of International Money and Finance,17, pp.299-316. Anoruo, E. & Mustafa, M, 2007. An empirical investigation into the relation of oil to stock market prices. North American Journal of Finance and Banking, 1(1), pp.22~36. Apergis, N. & Miller, S.M., 2009. Do structural oil-market shocks affect stock prices? 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The measurement of comovment has long tradition in financial and economic literature. At the start of measuring comovement , the approach is assessed in the time domain. Recently, Croux et al. have proposed a measure of comovement in frequency domain. This wavelet-based measure allows one to assess the comovement at frequency level and over time simultaneously. In this way, it is possible to capture the time and frequency varying feature of comovement within a unified framework. In this paper, we focus on the crude oil market, gold market, the U.S. exchange rate index, S&P500 and world index. The results show as follow:
1. We investigate the correlation between crude oil prices and gold market, the result shows that comovement between oil and gold market has a statistically positive correlated in the long run from 1974 to 1981. The correlation in two markets are transformed from low frequency to high frequency but remain positive but not significant correlated after 2000. The correlation between two markets also show a long run comovement from 1974 to 1981, and short run comovement after 2000. The oil price leads gold price in whole sample period in the long run.
2. We examine the correlation between oil market and stock market return, we found a negative and statistically correlated in two markets before 2005. After 2005, the correlation between two markets become positively and significantly correlated. The strong correlated between two markets are all found in the short run. The long run correlation between oil market and stock market are uncorrelated. The oil price is leading from 1995 in both short and long term but tend to be no leading relationship in recent years.
3. The correlation between oil market and the US exchange rate index shows that there exists a positive and statistically significant impact from 1977 to 1981. Since 2005, the correlation between oil and the US exchange rate index shows a negative and statistically significant correlated in the short run. The long run correlation between oil prices and the US exchange rate index are uncorrelated in the sample period. The causal relationship between oil price and US exchange rate index is a unidirectional relationship from US exchange rate to oil price in the short run and in the long run in almost whole sample period.
4. We investigate the correlation between gold market and the US exchange rate index, there is a strong evidence shows that the linkage between gold market and the US exchange rate index has a negative and significant correlation in the short run but the correlation only shows in few years. The long term correlation between gold market and the US exchange rate index shows a negative and statistically correlated from 1980 to 1995 in 10% significance level. Gold price and US exchange rate are a bidirectional causal relationship, recent years gold price is leading US exchange rate.
5. The correlation between gold market and stock market shows that there is no highly correlated in most of the time in both short and in long run. There are no causal relationship between gold price and stock market in the short run since 2005.
6. We investigate the correlation between the US exchange rate and stock market return, the result shows a negative correlated in the beginning of the sample period, a positive correlated from 1987 to 1992, and a negative and statistically significant correlated after 2005 in the short run. The correlation between the US exchange rate and stock market return are uncorrelated in the long run. There exist a bidirectional causal relationship between US exchange rate and stock in both short and long term.
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