Please use this identifier to cite or link to this item:
標題: Comovement of international financial markets: A wavelet analysis on commodity, currency and stock markets
作者: 文郁承
Wen, Yu-Cheng
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? Energy Economics, 31(4), pp.569-575. Aydemir,O.,&, Demirhan, E., 2009. The relationship between stock prices and exchange rates: Evidence from Turkey. Journal of Finance and Economics, 23, pp.208-215. Baffes, J., 2007. Oil spills on other commodities. Resources Policy, 32(3), pp.126-134. Bartram, S.M. & Bodnar, G.M., 2009. Crossing the Lines : The Relation between Exchange Rate Exposure and Stock Returns in Emerging and Developed Markets Crossing the Lines : The Relation between Exchange Rate Exposure and Stock Returns in Emerging and Developed Markets. Financial Management. Baur, D., 2010. Stock-Bond co-movement and cross-country linkage. International Journal of Banking, Accounting and Finance, 2, pp.111-129. Baur, D. & Lucey, B., 2010. Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financial Review,45, pp.217-229. Baur, D. & McPemott, T., 2010. Is gold a safe haven? International evidence. Journal of Banking and Finance,34, pp.1886-1898. Bentley, P.M. & McDonnell, J.T.E., 1994. Wavelet transforms: an introduction. Electronics Communications Engineering Journal, 6(4), p.175. Budden, M.C. & Iii, R.F.C., 2010. Stock Market Performance , the Exchange Rate , and the Brazilian Economy. Applied Economics, 2(2), pp.1-10. Capie, F., Mills, T.C. & Wood, G., 2005. Gold as a hedge against the dollar. Journal of International Financial Markets Institutions and Money, 15(4), pp.343-352. Clarida, R. & Gali, J., 1994. Sources of Real Exchange Rate Fluctuations: How Important are Nominal Shocks? National Bureau of Economic Research Working Paper Series, No. 4658(November 1993), pp.1-56. Chiou, J.S., Lee, Y.H. & Lin, C.M., 2008. Existence of a Long-Run Equilibrium between the S&P500 and Oil Price. Journal of Finance and Economics, 21, pp.68-75. Chan, K.F. &, Treepongkaruna, S., Brooks R., Gray,S. ,2010.Asset market linkage: Evidence from financial, commodities and real estate assets. Journal of Banking & Finance 35, pp.1415-1426. Chaudhuri, K. & Daniel, B.C., 1998. Long-run equilibrium real exchange rates and oil prices. Economics Letters, 58(2), pp.231-238. Chen, S.S. &, Chen, H.C.,2007. Oil price and real exchange rate. Energy Policy,29, pp.390-404. Chen, Y. C., Rogoff, K. & Rossi, B., 2008. Can Exchange Rates Forecast Commodity Prices? National Bureau of Economic Research Working Paper Series, No. 13901(3), p.1145. Chen, S.-S., 2010. Do higher oil prices push the stock market into bear territory? Energy Economics, 32(2), pp.490-495. Cong, R.G., Wei, Y.M., Jiao, J.L. & Fan, Y., 2008. Relationships between oil price shocks and stock market: An empirical analysis from China. Energy Policy, 36(9), pp.3544-3553. Coudert, V., Mignon, V. & Penot, A., 2008. Oil Price and the Dollar. Energy Studies Review, 15(2). Cunado, J. & Perez De Gracia, F., 2005. Oil prices, economic activity and inflation: evidence for some Asian countries. Quarterly Review of Economics and Finance, 45(1), pp.65-83. Desislava & Dimitrova, 2005. The relationship between exchange rates and stock prices: Studied in multivariate model. Journal of Political Economy 14,1-25. Farooq, M. T., Keung, D. W. W., 2003, Linkage between stock market prices and exchange rate: A causality analysis for Pakistan. The Pakistan Development Review, 43(4), pp. 639-649. Filis, G., 2010. Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations? Energy Economics, 32(4), pp.877-886. Fleming, J., Kirby, C. & Ostdiek, B., 1998. Information and volatility linkages in the stock, bond, and money markets. Journal of Financial Economics, 49(1), pp.111-137. Gaffen, D. & Slater, J., 2009. Dollar, Gold are suddenly inseparable. Abreast of the Market Column, Wall Street Journal, March 16, pp.C1-C2. Gilmore, C.G., McManus M.G. & Sharma, R. and Tezel, A., 2009. The dynamics of gold prices, gold mining stock prices and stock market prices comovements, Research in Applied Economics, 1(1), 1-19. Gurley, K., Kijewski, T. & Kareem, A., 2003. First- and Higher-Order Correlation Detection Using Wavelet Transforms. Journal of Engineering Mechanics, 129(2), p.188. Hamilton, J.D., 1983. Oil and the Macroeconomy since World War II. Journal of Political Economy, 91(2), pp.228-248. Hamilton, J.D., 2003. What is an oil shock? Journal of Econometrics, 113(2), pp.363-398. Hammoudeh, S. & Eleisa, E., 2004. Dynamic relationships among the GCC stock marketsand the NYMEX oil prices. Contemporay Economic Policy 22, 250-269. Hammoudeh, S. & Yuan, Y., 2008. Metal volatility in presence of oil and interest rate shocks. Energy Economics, 30(2), pp.606-620. Hau, H., 2005. Exchange Rates, Equity Prices, and Capital Flows. Review of Financial Studies, 19(1), pp.273-317. Huang, A.Y. & Tseng, Y.H., 2010. Is Crude Oil Price Affected By the US Dollar Exchange Rate? Journal of Finance and Economics, 58, pp.109-120. Hwang, J.-K., 1999. The relationship between stock prices and exchange rates: Evidence from Canada. International Advances in Economic Research, 5(3), pp.397-397. Johansen, S., 1991. Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), p.1551-1580. Jones, C.M. & Kaul, G., 1996. Oil and the Stock Markets. Journal of Finance, 51(2), p.463. Kim, K., 2003. Dollar exchange rate and stock price: Evidence from multivariate cointegration and error correction model. Review of Financial Economic, 12, pp.301-313. Krugman, P.R., 1983. Oil and the Dollar. National Bureau of Economic Research Working Paper Series, No. 554(3), pp.142-144. Liu, C.L.,2010. A tutorial of the wavelet transform. working paper. Lizardo, R.A. & Mollick, A.V., 2010. Oil price fluctuation and U.S. dollar exchange rates,32, pp.399-408. Lucey, B.M. & Tully, E., 2006. The evolving relationship between gold and silver 1978-2002: evidence from a dynamic cointegration analysis: A note. Applied Financial Economics Letters, 2, pp.47-53. Mok, H.M., 1993. Causality of interest rate, exchange rate and stock prices at stock market open and close in Hong Kong. Asia Pacific Journal of Management, 10(2), pp.123-143. Nandha, M. & Faff, R., 2008. Does Oil move Equity Prices? A Global View. Energy Economics, 30(3), pp.986-997. Narayan, P., Narayan, S. & Prasad, A., 2008. Understanding the oil price-exchange rate nexus for the Fiji islands. Energy Economics, 30(5), pp.2686-2696. Neri, S., 2004. Monetary policy and stock prices: theory and evidence. Economic Research Department, Bank of Italy Working Paper Series, (513). O''Neil, T.J., Penm, J. & Terrell, R.D., 2008. The role of higher oil prices: A case of major developed countries. Research in Finance 24, pp.287-299. Pachenko, V. & Wu, E., 2009. Time-varying market integration and stock and bond return concordance in emerging markets. Journal of Banking and Finance,33, pp.1014-1021. Papapetrou, E., 2001. Oil price shocks, stock market, economic activity and employment in Greece. Energy Economics, 23(5), pp.511-532. Phylaktis, K. & Ravazzolo, F., 2005. Stock prices and exchange rate dynamics. Journal of International Money and Finance, 24. Pukthuanthong, K., Roll, R.,2011. Gold and the Dollar (and the Euro, Pound, and Yen). Journal of Banking & Finance. Pindyck, R.S. & Rotemberg, J.J., 1988. The Excess Co-Movement of Commodity Prices. National Bureau of Economic Research Working Paper Series, No. 2671(2671), pp.1-33. Reinhart, C. & Borenzstein, E., 1994. The macroeconomic determinants of commodity prices. IMF Staff Papers, 41(2), p.236-261. Ridler, D., Yandle, C.A., 1972. A simplified method for analyzing the effects of exchange rate changes on exports of a primary commodity. IMF Staff Papers 19, 559-575. Roll, R., 1992. Industrial Structure and the Comparative Behavior of International Stock Market Indices. Journal of Finance, 47(1), p.3. Rua, A. & Nunes, L.C., 2009. International comovement of stock market returns: A wavelet analysis. Journal of Empirical Finance, 16(4), pp.632-639. Rua, A., 2010. Measuring comovement in the time-frequency space. Journal of Macroeconomics, 32(2), pp.685-691. Sadorsky, P., 1999. Oil price shocks and stock market activity. Energy Economics, 21(5), pp.449-469. Sadorsky, P.,2000. The empirical relationship between energy future prices and exchange rates. Energy Economics, 22, pp.253-266. Sari, R., Hammoudeh, S. & Soytas, U., 2010. Dynamics of oil price, precious metal prices, and exchange rate. Energy Economics, 32(2), pp.351-362. Sjaastad, L., 2008. The price of gold and the exchange rates: Once again. Resources Policy, 33(2), pp.118-124. Sjaastad, L. & Scacciavillani, F., 1996. The price of gold and the exchange rate. Journal of International Money and Finance, 15(6), pp.879-897. Soenen, L.A. & Hennigar, E.S., 1988. An analysis of exchange rates and stock prices - the US experience between 1980 to 1986. Akron Business and Economic Review, (winter), pp.7-16. Solnik, B., 1987. Using financial prices to test exchange rate models: A note. Journal of Finance, 42, pp.141-149. Tabak, B.M., 2006. The dynamics relationships between stock prices and exchange rates: evidence for Brazil. Banco Central Du Brazil Working Paper series, 124, pp.1-37. Tonn, V.L., Li, H.C. & McCarthy, J., 2010. Wavelet domain correlation between the future prices of natural gas and oil. The Quarterly Review of Economics and Finance 50, 408-414. Torrence, C. & Compo, G.P., 1998. A Practical Guide to Wavelet Analysis. Bulletin of the American Meteorological Society, 79(1), pp.61-78. Uri, N.D., 1996. Crude oil price volatility and unemployment in the United States. Fuel Energy Abstracts 37, 91. Uri, N.O. & Boyd, R.O., 1997. Economic impact of the energy price increase in Mexico.Environmental and Resource Economics 10, 101-107. Wu, Y., 2000. Stock prices and exchange rates in a VEC model-the case of Singapore in the 1990s. Journal of Economics and Finance, 24(3), pp.260-274. Zhang, Y.-J. & Wei, Y.-M., 2010. The crude oil market and the gold market: Evidence for cointegration, causality and price discovery. Resources Policy, 35(3), pp.168-177.
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.
其他識別: U0005-2206201103424200
Appears in Collections:財務金融學系所

Show full item record

Google ScholarTM


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.