淡江大學機構典藏:Item 987654321/121916
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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/121916


    Title: The Dynamic Relationships between the Baltic Dry Index and the BRICS Stock Markets: A Wavelet Analysis
    Authors: Kuo, Pao-Lan;Chiu, Chien-Liang;Chen, Chan-Sheng;Wang, Mei-Chih
    Keywords: Granger causality;wavelet;Nonlinearity;Baltic dry index;BRICS;Emerging markets
    Date: 2020-10
    Issue Date: 2022-01-13 12:11:08 (UTC+8)
    Publisher: AESS
    Abstract: This paper studies the dynamic relationships between the Baltic Dry Index (BDI) and the BRICS stock markets by wavelet analysis for the period from January 1996 to March 2019. Compared to the causality based on linearity and the choosing of the period of lags, as well as given the significant evidence of nonlinearity, we used wavelet analysis to analyze the dynamic relationships between the two series in both time and frequency domains, which helped us to demonstrate the causality across different horizons. Due to wavelet analysis, we found that the BDI and the Brazilian stock market had a significantly positive relationship from 2002 to 2011 in the medium term and that the Brazilian stock market led the BDI from 2002 to 2004 and from 2009 to 2011. The wavelet analysis showed that the Russian and Indian stock markets dominated the BDI from 2005 to 2016 in the long term and from 2002 to 2011 in the medium term, respectively. The South African stock market and the BDI had a medium term, positive, and co-movement relationships. The empirical results of Brazil and South African indicated that commodity import- and export- related countries have similar interactions. Lastly, wavelet analysis revealed that the BDI lead the Chinese stock market from 1996 to 1998 in the medium term, while the Chinese stock market turned to dominate the BDI from 2001 to 2011, both in the medium and long term.
    Relation: Asian Economic and Financial Review 10(3), p340-351
    DOI: 10.18488/journal.aefr.2020.103.340.351
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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