The degree of Asian-European markets connectedness: examining the impact of global disorders using a spectral analysis
Abstract
Purpose
This paper aims to examine potential diversification benefits between Eurozone (i.e. EURO STOXX 50) and key Asia markets: HSI (Hong Kong), KOSPI (South Korea), NIKKEI 225 (Japan) and TSEC (Taiwan). The sample covers the period from 04-01-2008 to 19-10-2023 in daily frequency.
Design/methodology/approach
The empirical investigation is based on the wavelet coherence analysis, which is a localized correlation coefficient in the time and frequency domain.
Findings
The results provide evidence that long-term diversification benefits exist between EURO STOXX and NIKKEI, EURO STOXX and KOSPI (after 2015) and there are signs for the pair and EURO STOXX-TSEC (after 2014). During the short term, there are signs of diversification benefits during the sample period. However, during the medium term, the diversification benefits seem to diminish.
Originality/value
These results have crucial implications for investors regarding the benefits of international portfolio diversification.
Keywords
Citation
Dimitriou, D., Goulas, E., Kallandranis, C., Tsioutsios, A. and Ta, T.N.B.T.N. (2024), "The degree of Asian-European markets connectedness: examining the impact of global disorders using a spectral analysis", Journal of Asia Business Studies, Vol. ahead-of-print No. ahead-of-print. https://doi.org/10.1108/JABS-11-2023-0475
Publisher
:Emerald Publishing Limited
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