TIME-FREQUENCY NEXUS BETWEEN BITCOIN AND DEVELOPED STOCK MARKETS IN THE ASIA-PACIFIC

2020 ◽  
pp. 1-26
Author(s):  
NGO THAI HUNG
Keyword(s):  
Equity Markets ◽  
Asia Pacific ◽  
Pacific Region ◽  
Asia Pacific Region ◽  
Causality Test ◽  
Time Frequency ◽  
Long Run ◽  
Portfolio Managers ◽  
Developed Stock Markets ◽  
Additional Support

This study investigates the connectedness between Bitcoin prices and major stock indices in the Asia-Pacific region from February 2012 to August 2019. Based on the wavelet transform framework, we find evidence of significant unidirectional association from Bitcoin to the selected markets in the short, medium, and long-run in the Asia-Pacific region. Overall, Asia-Pacific equity markets and Bitcoin cryptocurrency are weakly correlated at higher frequencies throughout the sample period, but the dependence of Bitcoin on the equity markets steadily increases at lower frequencies. Further, we construct the wavelet-based Granger causality test at different time scales to provide additional support to our connectedness results. Our findings provide important implications for policymakers, portfolio managers, and investors who are invited to take into account the dynamic linkages between Bitcoin and equity markets.

Dynamic and frequency connectedness across Islamic stock indexes, bonds, crude oil and gold

2019 ◽  
Vol 12 (3) ◽  
pp. 306-321 ◽  
Author(s):  
Nader Trabelsi
Keyword(s):  
Crude Oil ◽  
The United States ◽  
Asia Pacific ◽  
Volatility Spillover ◽  
Content Type ◽  
Time Frequency ◽  
Volatility Spillovers ◽  
Long Run ◽  
Portfolio Managers ◽  
Stock Indexes

Purpose This paper aims to investigate the connectedness of Islamic Stock Markets in five regional financial systems, namely, the United States, the United Kingdom, Europe (EU), GCC (Gulf Cooperation Council) and APAC (Asia-Pacific Countries), and across different asset classes (i.e. bonds, gold and crude oil). Design/methodology/approach This methodology is inspired by Diebold and Yilmaz (2012) and Barunlik and Krehlik (2017) for performing dynamic variance decomposition network and for studying time–frequency dynamics of connectedness at different frequencies. Findings Results show that the nature of connectedness over the past decade is time–frequency dynamics. The decomposition of the total volatility spillovers is mostly dominated by the long-run component. Furthermore, dominant regions are the largest contributors of spillover index, with the lowest contribution in the system coming from the GCC market. Results also reveal a slightly higher volatility spillover index of Islamic than conventional equity indexes. Finally, the system that encompasses commodities and Islamic finance instruments, generates the much lower volatility spillover. Originality/value The findings have significant implications for portfolio managers who are interested in being able to predict asset returns, as well as for policymakers who are concerned with market stability.

Dynamic linkages among developed, emerging and frontier capital markets of Asia-Pacific region

2017 ◽  
Vol 14 (3) ◽  
pp. 332-351 ◽  
Author(s):  
Nisha Mary Thomas ◽  
Smita Kashiramka ◽  
Surendra S. Yadav
Keyword(s):  
Unit Root ◽  
Unit Root Test ◽  
Cointegration Analysis ◽  
Asia Pacific ◽  
Thin Body ◽  
Pacific Region ◽  
Asia Pacific Region ◽  
Content Type ◽  
Long Run ◽  
Global Investors

Purpose The purpose of this paper is to investigate the long-run equilibrium relationship between developed, emerging and frontier markets of the Asia-Pacific region during January 2000 to June 2016. Design/methodology/approach Zivot and Andrews’ unit root test is used to examine the existence of unit root in index series in the presence of a structural break. Gregory and Hansen’s test of cointegration is employed to examine the stable long-run relationship between the indices under study. Findings The results suggest that the emerging markets of China and Thailand and the frontier markets of Sri Lanka and Pakistan are fairly segmented from most of the markets in the Asia-Pacific region. Hence, these markets provide good diversification opportunities to global investors. Bidirectional cointegration analysis indicates that emerging and frontier markets influence developed markets. Hence, it can be inferred that the de facto position that only bigger markets influence small markets no longer holds true in the current environment. Practical implications The findings of this study will provide valuable inputs to global investors for creating an optimal investment portfolio. Originality/value This study does a comprehensive examination of market integration in the Asia-Pacific region. It also contributes to the thin body of work done on frontier markets. Unlike past studies, this paper analyzes the bidirectional cointegration relationship to examine if the notion that only bigger markets influence smaller markets holds true or not. Finally, this study employs advanced techniques of unit root test and cointegration test that consider structural breaks in the models.

China, Japan and Economic Interdependence in the Asia Pacific Region

1990 ◽  
Vol 124 ◽  
pp. 662-693 ◽  
Author(s):  
Christopher Howe
Keyword(s):  
Asia Pacific ◽  
Economic Interdependence ◽  
Pacific Region ◽  
Asia Pacific Region ◽  
Long Run

China, Japan and Economic Interdependence in the Asia Pacific RegionIn expressing their gratitude for economic co-operation from Japan, Chinese leaders noted that such assistance would also be profitable to Japan in the long run. We in Japan certainly have no objection to this view. (Sakutaro Tanino, The Japan Times, 1 October 1988.)

scholarly journals Crisis of Regional Leadership and Stagnation of Mega-projects in Asia-Pacific: Consequences for Russia

2019 ◽  
Vol 12 (1) ◽  
pp. 6-25
Author(s):  
A. N. Fedorovsky
Keyword(s):  
Regional Integration ◽  
The United States ◽  
Asia Pacific ◽  
Pacific Region ◽  
Asia Pacific Region ◽  
Regional Economic ◽  
Long Run ◽  
The Usa ◽  
The Republic

Analyses of modern trade and economic relations in Asia-Pacific region. Research of the roles of the United States of America and China under the conditions of protectionism initiated by the D. Tramp’s administration and stagnation of mega-projects. Crisis of leadership and role of USA and China in regional mega-project (APEC, TPP, RCPEC). Ability of the USA and the PRC to create regional economic priorities, as well as to determine the course of integration processes. Analysis of the main obstacles of realization of American and Chinese leadership potential. Regional integration project initiated by Japan, India and the Republic of Korea and prospects for Indo-Pacific Asia. China-USA competition and main trends of regional integration. Comparative study of opportunitiesand prospects for bilateral and mega-regional economic projects. As an example, observation of South Korean initiative “New Economic Map” is presented and analyzed. Role of “New Economic Forum” initiated by Bloomberg with support of global big business is examined also. Initiative of Indo-Pacific region, Japan-India economic cooperation are examined, as well as Washington policy to counterweight China foreign economic and political expansion. Analyzing of prospects and consequences of competition between USA and the PRC in Pacific regions. Main issues, opportunities and challenges of Russia’s economic expansion in Asia-Pacific region. Close interconnection between policy, security and economiccooperation in the region: influence on Russia’s Pacific priorities and diplomacy. Characteristics of some problems of Russian “East Policy” during last several years. Some arguments are presented in favor of Russia’s strategy of “policy of focused partnerships”. This kind of policy means prevail of business activity in some special projects as well as in some geographic areas. It is also stressed that it is in Russia’s long-run interests to use of all kind of diplomatic measures in order to minimize any attempts to oppose India to China. But try its best to support cooperation between Russia, China and India in Pacific, as well as in Indo-Pacific region. 

scholarly journals AN EMPIRICAL EXAMINATION OF LINKAGES AMONG KARACHI STOCK EXCHANGE AND EMERGING EQUITY MARKETS OF ASIA PACIFIC REGION

2013 ◽  
Vol 01 (02) ◽  
pp. 55-61
Author(s):  
Arshad Hassan ◽  
Khalid Mehmood Awan
Keyword(s):  
Hong Kong ◽  
Stock Exchange ◽  
Equity Markets ◽  
Asia Pacific ◽  
Pacific Region ◽  
Asia Pacific Region ◽  
Empirical Examination ◽  
Cointegration Tests ◽  
International Investors ◽  
Multivariate Cointegration

This study analyses weekly stock indices for ten equity markets of Asia pacific region for the period January 1, 2001 to June 30, 2013 to explore the long run relationship among Karachi stock exchange and Asia Pacific equity markets . These markets include Hong Kong, Singapore, Indonesia, Korea, Malaysia, Pakistan, Taiwan, India and china. Multivariate Cointegration and VAR procedures are performed to observe the long term dynamic relationships among these market Results show that Karachi stock exchange is best performing market for the period under study as it offers the highest return at relatively low risk level. Multivariate Cointegration analysis provides an evidence of a single cointegrating equation among the markets studied. The results of the bivariate Cointegration tests indicate that the Pakistani stock market is not individually integrated with any of the emerging Asia Pacific markets except Hong Kong and Taiwan. Granger causality tests reveal a casual flow from Korea, Hong Kong, Taiwan and Indian indices to Karachi stock exchange index. This unidirectional causality is indicator of lead-lag relationship amongst them. Variance decomposition analysis shows that Karachi Stock Exchange (KSE) is exogenous as most of its vibrations are explained by its own unique shocks. Above results explain that international investors can derive the benefits of portfolio diversification and any volatility in emerging Asia Pacific markets does not expose the international investors in Karachi stock exchange to any immediate threat of spill over effect.

Money supply and inflation dynamics in the Asia-Pacific economies: a time-frequency approach

2017 ◽  
Vol 21 (3) ◽  
Author(s):  
Stelios Bekiros ◽  
Ahmed T. Muzaffar ◽  
Gazi S. Uddin ◽  
Javier Vidal-García
Keyword(s):  
Money Supply ◽  
Asia Pacific ◽  
Scale Analysis ◽  
Continuous Assessment ◽  
Asia Pacific Region ◽  
Causality Test ◽  
Inflation Dynamics ◽  
Time Frequency ◽  
Multi Scale ◽  
The Relationship

Abstract:We examine the relationship between money supply growth and inflation in 3 Asian Economies which are India, Malaysia and Japan using a time-frequency approach. The application of a unified multi-scale analysis allows us to provide a continuous assessment of the link between money supply growth and inflation, unlike most of the existing literature studying this relationship. We also employ a bivariate frequency-domain causality test to determine the nature and direction of interdependence between money supply growth and inflation dynamics. Our findings provide a better understanding of their lead-lag linkages and causal relationship in the selected countries of the Asia-Pacific region.

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