Stock market, is one of the most important financial market which has a close relationship with a country's economy, due to which it is often called the barometer of the economy. Over the past 25 years, the stock markets have been affected by different global economic shocks. Various researchers have analyzed different aspects of these effects one by one, however, this study is an assessment of stock market interrelationship of emeriging Asian economies which include most of the East Asian, and Southeast Asian emerging economies with special focus on China for past decades during which different crisis occurred. We used Morgan Stanley capital international (MSCI) daily indices data for each stock market and compared Chinese stock market with the stock markets of India, Pakistan, Malaysia, Singapore, and Indonesia. We analyzed the data through the individual wavelet power spectrum, cross-wavelet transform and wavelet coherence, to determine the correlation and volatility among the selected stock markets. These model have the power to analyze co-movements among these countries with respect to both frequency and time spaces. Our findings show that there are co-movement patterns of higher frequencies during the crises periods of 1997, 2008 and 2015. The dependency strength among the considered economies is noted to increase in the crisis periods, which implies increased short- and long-term benefits for the investors. From a financial point of view, it has been determined that the co-movement strength among the emerging economies of Asia may have an effect on the VaR (Value at Risk) levels of a multi-country portfolio. Furthermore, the stock market of China shows a high correlation with the other six Asian stock emerging markets in both high and low-frequency spectrums. The association of the south and east Asian stock market with Chinese stock markets show the interconnection of these economies with the economy of China since past two decades. These findings are useful for investors, portfolio managers and the policymaker around the globe.
Various empirical studies have examined the nexus between financial markets, but this study focused on the comovement among prominent markets. Our study examines the interrelationship among main financial markets, i.e., stock, oil, and commodity during the recent pandemic. The interconnections among the selected markets are investigated using a battery of wavelet coherence tools and the Granger causality test. From the wavelet coherence analysis, our findings indicate strong co-movements among the VIX, oil volatility, and commodity prices during pandemic and localized in all scales and over the sample period. The dependency strength among the considered economies is noted to increase in pandemic, which implies increased short- and long-term benefits for the investors. Moreover, Our result exhibits a feedback causality between OVIX and crude oil, VIX and S&P 500, and gasoline and VIX. Interestingly, a unidirectional causality exists between VIX and crude oil, S&P 500 and crude oil, Brent and crude oil, gasoline, crude oil, and VIX and OVIX. We advocate that the findings will be helpful for portfolio managers, investors, and officials around the world.