Comovement of international financial markets: A wavelet analysis on commodity, currency and stock markets

Abstract

對於經濟和金融之連動關係的研究已經有很久遠的時間，從一開始連動關係的測量只有從時間這個層面來著手，經由相關系數的檢定來探討在兩個市場之間的連動關係。由於計量方法的成熟，由Croux等學者所使用的小波分析開始受到廣泛的利用，小波分析是利用不同時間的波長和不同頻率的波長來分析連動關係的方法，利用小波分析，我們便可以同時看出在不同時間和不同頻率下兩兩市場之間的連動關係。在此篇論文中，我們利用小波分析來探討在石油市場、黃金市場、美國匯率指數、標準普爾500以及MSCI 世界指數兩兩之間所存在之連動關係，實證結果如下： 1. 我們利用小波分析觀察原油市場和黃金市場之間的連動關係並且發現兩個市場之間自1974年到1981年在長期下存在高度且正向的連動關係，到了2000年之後兩個市場之間的連動關係雖維持高度且顯著的正相關，但是卻由長期之連動關係轉變為短期的連動關係。 2. 原油市場和股票市場在2005年以前存在顯著負相關，2005年之後負向的關係轉變為顯著的正向關係，而整個樣本期間之顯著關係只存在於短期，長期之下，便沒有顯著的相關。 3. 原油市場和美國匯率指數之間的連動關係在1977到1981年之間存在顯著正相關，而在2005年之後，兩者之間的關係則轉變為顯著的負相關。而在長期下，兩者之間之連動關係則不明顯。 4. 我們觀察黃金和美國匯率指數之間的關係，可以發現在短期下，會有零星的顯著負相關。而1980年到1995年之間，黃金市場和美國的匯率指數在10%的顯著水準下，長期存在顯著負相關。 5. 在黃金和股票市場之間，雖然兩者有存在關聯性，但是不論在長期或短期，此關聯性都不顯著。 6. 最後，在美國匯率指數與股票市場之間，我們發現在短期下，兩個市場在樣本期間的初期存在顯著的負相關，而從1987年到1992年，兩個市場之連動關係才轉變為顯著正相關，2005年之後，黃金與美國匯率之間則變為顯著的正相關。在長期下，黃金市場與美國匯率指數之相關性則不顯著。

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.