Computational Economics

, Volume 46, Issue 4, pp 575–611

Tests of Financial Market Contagion: Evolutionary Cospectral Analysis Versus Wavelet Analysis

  • Zied Ftiti
  • Aviral Tiwari
  • Amél Belanès
  • Khaled Guesmi
Article

DOI: 10.1007/s10614-014-9461-8

Cite this article as:
Ftiti, Z., Tiwari, A., Belanès, A. et al. Comput Econ (2015) 46: 575. doi:10.1007/s10614-014-9461-8

Abstract

This paper examines the co-movements dynamics between OCDE countries with the US and Europe. The core focus is to suggest advantageous techniques allowing the investigation with respect to time and frequency, namely evolutionary co-spectral analysis and wavelet analysis. Our study puts in evidence the existence of both long run and short-run co-movements. Both interdependence and contagion are well identified across markets; but with slight differences. Both investors and policymakers can derive worthwhile information from this research. Recognizing countries sensitivity to permanent and transitory shocks enables investors to select rational investment strategies. Similarly, policymakers can make safe crisis management policies.

Keywords

Contagion Interdependence Stock markets index   Evolutionary co-spectral analysis Wavelet analysis 

Copyright information

© Springer Science+Business Media New York 2014

Authors and Affiliations

  • Zied Ftiti
    • 1
  • Aviral Tiwari
    • 2
  • Amél Belanès
    • 3
    • 4
  • Khaled Guesmi
    • 5
    • 6
  1. 1.EDC Paris Business SchoolOCRE-EDCCourbevoie cedex, ParisFrance
  2. 2.Faculty of Applied EconomicsICFAI University TripuraAgartalaIndia
  3. 3.High Institute of Management of Tunis, GEF-2A LaboratoryTunisTunisia
  4. 4.Department of Finance, ESSECUniversity of TunisTunisTunisia
  5. 5.IPAG Business School, IPAG-LabParisFrance
  6. 6.University Paris West La Défense, EconomiX (UMR CNRS 7235)ParisFrance