Risk and causality Co-movement of Malaysia's stock market with its emerging and OECD trading partners. Evidence from the wavelet approach.

ABSTRACT: The growing trend of interdependence between the international stock markets indicated the amalgamation of risk across borders that plays a significant role in portfolio diversification by selecting different assets from the financial markets and is also helpful for making extensive economic policy for the economies. By applying different methodologies, this study undertakes the volatility analysis of the emerging and OECD economies and analyzes the co-movement pattern between them. Moreover, with that motive, using the wavelet approach, we provide strong evidence of the short and long-run risk transfer over different time domains from Malaysia to its trading partners. Our findings show that during the Asian financial crisis (1997-98), Malaysia had short- and long-term relationships with C

SUBMITTER: Wang X 

PROVIDER: S-EPMC10836818 | biostudies-literature | 2024

REPOSITORIES: biostudies-literature