Co-movement analysis of Asian stock markets against FTSE100 and S&P 500: Wavelet-based approach

Wavelet coherence of time series provide valuable information about dynamic correlation and its impact on time scales. Here we analyze the wavelet coherence of FTSE100 and S&P 500 with selected Asian markets of S&P/ASX 200 (Australia), S&P/ASX200 A-REIT (Australia), BIST (Turkey), HIS (Hong Kong), IDX (Indonesia), KLSE (Malaysia), KOSPI (Korea), N225 (Japan), RTS (Russia), Shenzhen (China), 0050.TW (Taiwan). Wavelet coherence results revealed interconnected relationships between stock markets and how these relationships vary in the time–frequency space. We conclude that developed economy stock markets have strong influences over Asian stock markets, although market dependencies vary by country and change over time. We also suggested that because co-movements shift over time, short term and middle term diversification could be more beneficial taking into account the degree of interrelations. From investors point of view, these relationships provides beneficial information, especially for portfolio diversification and risk elimination.

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Dynamic correlation of Eastern and Western markets and forecasting: Scale-by-scale wavelet-based approach

International Journal of Financial Engineering ◽

10.1142/s2424786317500402 ◽

2017 ◽

Vol 04 (04) ◽

pp. 1750040 ◽

Cited By ~ 1

Author(s):

Emrah Oral ◽

Gazanfer Unal

Keyword(s):

Time Series ◽

Wavelet Transform ◽

Moving Average ◽

Wavelet Coherence ◽

Vector Autoregressive ◽

Frequency Space ◽

Time Frequency ◽

Dynamic Correlation ◽

Frequency Scale ◽

Highly Correlated

In this paper, dynamic four-dimensional (4D) correlation of eastern and western markets is analyzed. A wavelet-based scale-by-scale analysis method has been introduced to model and forecast stock market data for strongly correlated time intervals. The daily data of stock markets of SP500, FTSE and DAX (western markets) and NIKKEI, TAIEX and KOSPI (eastern markets) are obtained from 2009 to the end of 2016 and their co-movement dependencies on time–frequency space using 4D multiple wavelet coherence (MWC) are determined. Once the data is detached into levels of different frequencies using scale-by-scale continuous wavelet transform, all of the time series possessing the same frequency scale are selected, inversed and forecasted using multivariate model, vector autoregressive moving average (VARMA). It is concluded that the efficiency of forecasting is increased substantially using the same-frequency highly correlated time series obtained by scale-by-scale wavelet transform. Moreover, the increasing or decreasing trend of prospected price shift is foreseen fairly well.

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Co-movement and Forecasting Analysis of Major Real Estate Markets by Wavelet Coherence and Multiple Wavelet Coherence

Chinese Journal of Urban and Environmental Studies ◽

10.1142/s2345748117500105 ◽

2017 ◽

Vol 05 (02) ◽

pp. 1750010 ◽

Cited By ~ 3

Author(s):

Cengiz KARATAS ◽

Gazanfer UNAL ◽

Adil YILMAZ

Keyword(s):

Time Series ◽

Real Estate ◽

Real Estate Market ◽

Wavelet Coherence ◽

Real Estate Markets ◽

Frequency Space ◽

Time Frequency ◽

Dynamic Correlation ◽

The Usa ◽

Multiple Wavelet Coherence

Wavelet coherence of time series provides valuable information about dynamic correlation and its impact on time scales. Here, the authors analyze the wavelet coherence of major real estate markets data, and take the USA, Hong Kong of China, Canada, Japan, and Developed Europe real estate market prices as time series. The wavelet coherence results show relationships among these markets, the correlations between the two and three markets (by multiple wavelet coherence) and how these relationships vary in the time-frequency space. These relationships allow the authors to build VARMA models of real estate data which produce forecasts with small errors.

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Correlation between air temperature and electricity demand by linear regression and wavelet coherence approach: UK, Slovakia and Bosnia and Herzegovina case study

Archives of Electrical Engineering ◽

10.2478/aee-2013-0042 ◽

2013 ◽

Vol 62 (4) ◽

pp. 521-532 ◽

Cited By ~ 4

Author(s):

Samir Avdakovic ◽

Alma Ademovic ◽

Amir Nuhanovic

Keyword(s):

Linear Regression ◽

Power Systems ◽

Air Temperature ◽

Electricity Demand ◽

Wavelet Coherence ◽

Frequency Space ◽

Time Frequency ◽

Close Relationship ◽

Dynamics Of Correlations

Abstract In this paper, the results of correlations between air temperature and electricity demand by linear regression and Wavelet Coherence (WTC) approach for three different European countries are presented. The results show a very close relationship between air temperature and electricity demand for the selected power systems, however, the WTC approach presents interesting dynamics of correlations between air temperature and electricity demand at different time-frequency space and provide useful information for a more complete understanding of the related consumption.

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Co-movements and diversification opportunities among Dow Jones Islamic indexes

International Journal of Islamic and Middle Eastern Finance and Management ◽

10.1108/imefm-04-2018-0137 ◽

2019 ◽

Vol 13 (1) ◽

pp. 94-115 ◽

Cited By ~ 1

Author(s):

Monia Antar ◽

Fatma Alahouel

Keyword(s):

Emerging Markets ◽

Movement Analysis ◽

Wavelet Coherence ◽

Future Research ◽

Mena Region ◽

Content Type ◽

Time Frequency ◽

Bivariate Correlation ◽

Long Run ◽

Coordination Costs

Purpose This paper aims to analyse the opportunity of an exclusive investment in the DJ Islamic indexes. The objective is to characterize the links between MENA region index with seven DJ Islamic indexes. Design/methodology/approach A co-movement analysis was conducted to assess whether there is a safe investment during crisis. The VECM verifies the existence of a long run association. The MGARCH-DCC characterizes the dynamic links. The wavelet coherence detects a correlation in a time-frequency domain, which is relevant to set up a diversification strategy based on investment horizons. Findings Despite the existence of a long run association between the Islamic indexes, diversification opportunities are present. The MGARCH-DCC results recommend including the USA, Canada and Emerging Markets indexes with the Mena index to get diversification benefits. The Wavelet coherence confirms these results for 0 to 16 days holding period and more than six-months’ investment horizons. Hence, MENA portfolio managers should not invest in Europe, UK and Emerging Markets indexes. Research limitations/implications This study focused only on the bivariate correlation analysis without taking into consideration multivariate relationships. Future research should use multiple wavelet coherence and explore S&P Shariah indexes. Practical implications This work is important for investors searching for assets governed by sharia rules, who reject resorting to conventional markets, and policy makers dealing with coordination costs. They would be able to formulate strategies based on the different indexes’ relationships. Originality/value This paper enriches the limited stream of literature focusing only on Islamic indexes. Due to the important development of Islamic Finance in each MENA country, the authors shed the light on this Region’s index.

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Wavelet coherence as a tool for retrospective analysis of bank activities

Economy and Forecasting ◽

10.15407/econforecast2020.02.032 ◽

2020 ◽

Vol 2020 (2) ◽

pp. 32-44

Author(s):

Oleg Vasiurenko ◽

◽

Viacheslav Lyashenko ◽

◽

Keyword(s):

Data Structure ◽

Initial Data ◽

Retrospective Analysis ◽

Statistical Data ◽

Point Of View ◽

Wavelet Coherence ◽

Retrospective Data ◽

Banking Activity ◽

Administrative Expenses ◽

Over Time

The article considers the possibility and expediency of using the apparatus of the theory of wavelets to conduct analysis of banking activities. The authors determine separate stages of the complex application of various tools on the theory of wavelets to analyze the activities of banks based on retrospective data. Among these stages are: decomposition of the initial data by their approximating coefficients and coefficients of detail, and the use of wavelet coherence. Indicated the importance of conducting a retrospective analysis to reveal hidden relationships in the data structure that determine certain aspects of banking. The ad-vantages of using the tools of the theory of wavelets from the point of view of analyzing the activities of banks based on their statistical data are highlighted. Among these advantages, the authors highlight the possibility of studying the relationships be-tween data over time and determining the depth of such relationships. It is noted that this can be done in one research window. Particular attention is focused on the analysis of the reciprocity between the volume of funds in deposit accounts and the volume of loans granted, as one of the key parameters for conducting banking activities. The reciprocity between the volumes of funds in deposit accounts and the volumes of loans granted is revealed in accordance with the volumes of administrative expenses and equity of banks. It is noted that retrospective analysis allows us to identify the consequences of the onset of unwanted events and prevent them in the future. To carry out a corresponding analysis, the content of constructing a description of spatial wavelet coherence is disclosed. Such a description makes it possible to take into account a larger number of parameters than classical approaches for calculating wavelet coherence. This expands the boundaries of the relevant analysis, allows you to explore various mutual influences between individual banks in terms of their individual indicators for banking activities. Such an analysis allows to determine not only the reciprocity between individual indicators of banking activity, but also the depth of influence between individual banks, taking into account such indicators of their activity. Concrete examples are given that prove the feasibility and likelihood of applying the proposed approaches to the analysis of banking activities.

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Wavelet analysis of land subsidence time-series: Madrid Tertiary aquifer case study

Proceedings of the International Association of Hydrological Sciences ◽

10.5194/piahs-382-353-2020 ◽

2020 ◽

Vol 382 ◽

pp. 353-359

Author(s):

Roberto Tomás ◽

José Luis Pastor ◽

Marta Béjar-Pizarro ◽

Roberta Bonì ◽

Pablo Ezquerro ◽

...

Keyword(s):

Time Series ◽

Wavelet Transform ◽

Land Subsidence ◽

Wavelet Coherence ◽

Interferometric Synthetic Aperture Radar ◽

Frequency Space ◽

Time Frequency ◽

Cross Wavelet Transform ◽

Cross Wavelet

Abstract. Interpretation of land subsidence time-series to understand the evolution of the phenomenon and the existing relationships between triggers and measured displacements is a great challenge. Continuous wavelet transform (CWT) is a powerful signal processing method mainly suitable for the analysis of individual nonstationary time-series. CWT expands time-series into the time-frequency space allowing identification of localized nonstationary periodicities. Complementarily, Cross Wavelet Transform (XWT) and Wavelet Coherence (WTC) methods allow the comparison of two time-series that may be expected to be related in order to identify regions in the time-frequency domain that exhibit large common cross-power and wavelet coherence, respectively, and therefore are evocative of causality. In this work we use CWT, XWT and WTC to analyze piezometric and InSAR (interferometric synthetic aperture radar) time-series from the Tertiary aquifer of Madrid (Spain) to illustrate their capabilities for interpreting land subsidence and piezometric time-series information.

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Revisiting the Valuable Roles of Global Financial Assets for International Stock Markets: Quantile Coherence and Causality-in-Quantiles Approaches

Mathematics ◽

10.3390/math9151750 ◽

2021 ◽

Vol 9 (15) ◽

pp. 1750

Author(s):

Zhenghui Li ◽

Zhiming Ao ◽

Bin Mo

Keyword(s):

Stock Markets ◽

Predictive Ability ◽

Point Of View ◽

Financial Assets ◽

Short Term ◽

Predictive Capacity ◽

High Quantiles ◽

Stock Indexes ◽

The Impact

We employ the quantile-coherency approach and causality-in-quantile method to revisit the roles of Bitcoin, U.S. dollar, crude oil and gold for USA, Chinese, UK, and Japanese stock markets. The main results show that the impact of global financial assets varies across different investment horizons and quantiles. We find that in most cases, the correlation between global financial assets and stock indexes is not significant or is weakly positive. From the perspective of investment horizons (frequency domain), the correlation in the short term is mostly manifested in Bitcoin, while in the medium and long term it is shifted to dollar assets. At the same time, the relationships are significantly higher in the medium and long term than in the short term. From the point of view of quantiles, it shows a weak positive correlation at the lower quantile. However, the correlation between the two is not significant at the median quantile. At the high quantiles, there is a weak negative linkage. According to the causality-in-quantiles approach results, in most cases global financial assets have different degrees of predictive capacity for the selected stock markets. Especially around the median quantile, the predictive ability was strongest.

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Musikalisasi Syi’ir Aqoid Kiai Zaini Mun’im dan Budidaya Tanaman Obat Keluarga (Toga) di Pesantren Nurul Jadid Probolinggo

GUYUB: Journal of Community Engagement ◽

10.33650/guyub.v1i1.1257 ◽

2020 ◽

Vol 1 (1) ◽

pp. 47-58

Author(s):

Khodijatul Qodriyah

Keyword(s):

Herbal Medicine ◽

Herbal Medicines ◽

Successful Implementation ◽

Short Term ◽

Middle Term

The lack of students’ knowledge of their teachers’ works and the less of their consciousness to the environment are crucial problems in some islamic boardingschool, especially in Nurul Jadid. These issues will be settled by implementation of religious preaching (dakwah) with poem (syi’ir) in Syu’abul Iman of Kiai Zaini Mun’im and prefentive action to the illness through herbal medicines of family crops medicine (tanaman obat keluarga). The program is undertaken with some phases, including planting family crops medicine, making herbal medicines, musicalisation of poem in book of Syu’abul Iman, socialization of the herbal medicine and musical poem of Syu’abul Iman. These phases have been structured with long-term, middle-term, and short-term programs which were finished during approximately 4 months (Augustus – November 2019). The involvement of many parties, such as activists of environment in Nurul Jadid, has strongly influenced on the successful implementation of these programs.Keywords: Family Crops Medicine, Nurul Jadid Islamic Boardingschool, Book of Syu’abul Iman

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The Short-Term and Long-Term Impacts of Sarbanes-Oxley Act on Composition and Characteristics of Corporate Board of Directors

International Journal of Financial Management ◽

10.21863/ijfm/2015.5.4.019 ◽

2015 ◽

Vol 5 (4) ◽

Author(s):

Halil Kaya ◽

Gaurango Banerjee

Keyword(s):

Board Composition ◽

Corporate Boards ◽

Corporate Accountability ◽

Corporate Board ◽

Short Term ◽

Dual Roles ◽

Board Characteristics ◽

Sarbanes Oxley ◽

Over Time

The paper examines the Sarbanes-Oxley (2002) Acts immediate impact on board composition and characteristics as well as possible reversals in its impact over time. Effects on directors age and tenure are analyzed over the 2001-06 sample period. Female participation in corporate boards is also studied in the pre-SOX and post-SOX periods. The dual roles of directors in being a member of the board as well as serving as either CEO, CFO, Chairman, Co-Chair, Founder, or Lead Director of their respective companies is also examined. We observe a short-term impact of SOX on board compositions due to changes seen in board characteristics between 2001 (pre-SOX), and 2003-05 short-term period (post-SOX). Also, we observe a reversal of board characteristics in 2006 to pre-SOX levels implying that the effects of SOX on board composition were short-lived, and needs to be monitored over time to ensure adherence to corporate accountability guidelines over the long-term.

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Personality dynamics at work: The effects of form, time, and context of variability

European Journal of Personality ◽

10.1177/08902070211017341 ◽

2021 ◽

pp. 089020702110173

Author(s):

Nadin Beckmann ◽

Damian P Birney ◽

Amirali Minbashian ◽

Jens F Beckmann

Keyword(s):

Individual Differences ◽

Cognitive Ability ◽

Temporal Stability ◽

Limited Evidence ◽

Short Term ◽

State Data ◽

The Status ◽

Over Time ◽

Trait Variability

The study aimed to investigate the status of within-person state variability in neuroticism and conscientiousness as individual differences constructs by exploring their (a) temporal stability, (b) cross-context consistency, (c) empirical links to selected antecedents, and (d) empirical links to longer term trait variability. Employing a sample of professionals ( N = 346) from Australian organisations, personality state data together with situation appraisals were collected using experience sampling methodology in field and repeatedly in lab-like settings. Data on personality traits, cognitive ability, and motivational mindsets were collected at baseline and after two years. Contingent (situation contingencies) and non-contingent (relative SD) state variability indices were relatively stable over time and across contexts. Only a small number of predictive effects of state variability were observed, and these differed across contexts. Cognitive ability appeared to be associated with state variability under lab-like conditions. There was limited evidence of links between short-term state and long-term trait variability, except for a small effect for neuroticism. Some evidence of positive manifold was found for non-contingent variability. Systematic efforts are required to further elucidate the complex pattern of results regarding the antecedents, correlates and outcomes of individual differences in state variability.

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