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Economic Change and Restructuring

Erschienen in:

11.10.2016

Is China a safe haven for Asian Tigers?

verfasst von: Arif Billah Dar, Niyati Bhanja

Erschienen in: Economic Change and Restructuring | Ausgabe 2/2018

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Abstract

This paper presents a number of noteworthy innovations that can be used to test the hedge and safe haven properties of Chinese stocks against stocks from four East Asian countries commonly referred to as the Asian Tigers. First and foremost, the hedge property of Chinese stocks was tested at different frequencies. Secondly, based on assertions of the Fractal Market Hypothesis, for the first time (to the best of our knowledge), turbulent periods in stock markets were identified by estimating the wavelet power spectra of stock returns. Thirdly, the safe haven property of stocks was analysed by estimating their coherence and phase angle during the identified turbulent periods. It is inferred that Chinese stocks can be used as both a weak hedge as well as weak safe haven against stocks of the Asian Tigers.

Vorheriger Artikel On the asymmetric effects of exchange rate changes on domestic production in Turkey

Nächster Artikel Russian 1998–2007 TFP decomposed: some inspiration emerging from inherited Soviet legacy

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We follow the definitions of Baur and Lucey (2010) to test the hedge and safe haven property of Chinese Stock against the stocks of Four Asian countries. For these definitions, reader can follow Baur and Lucey (2010) and Bhanja and Dar (2015).

This methodology has been heavily drawn from Kim and In (2005).

An asset is said to be a weak hedge if on average it is not correlated with the other asset.

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Titel: Is China a safe haven for Asian Tigers?
verfasst von: Arif Billah Dar
Niyati Bhanja
Publikationsdatum: 11.10.2016
Verlag: Springer US
Erschienen in: Economic Change and Restructuring / Ausgabe 2/2018
Print ISSN: 1573-9414
Elektronische ISSN: 1574-0277
DOI: https://doi.org/10.1007/s10644-016-9195-9

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