Co-movement of Asia-Pacific with European and US stock market returns : A cross-time-frequency analysis

Abstract

The Asia-Pacific stock markets were volatile during the global financial crises and have traded closely with the global markets during these periods. The co-movement of 13 Asia-Pacific stock market returns with that of European and US stock market returns using the wavelet coherence method are investigated. The results show consistent co-movement between most of the Asia-Pacific stock markets and that of Europe and the United States in the long term run.