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- 저자 : Al-Yahyaee, Khamis Hamed (검색결과 2 건)
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A wavelet analysis of co-movements in Asian gold markets
Das, Debojyoti,Kannadhasan, M.,Al-Yahyaee, Khamis Hamed,Yoon, Seong-Min Elsevier 2018 PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIO Vol.492 No.-
<P><B>Abstract</B></P> <P>This study assesses the cross-country co-movements of gold spot returns among the major gold consuming countries in Asia using wavelet-based analysis for a dataset spanning over 26 years. Wavelet-based analysis is used since it allows measuring co-movements in a time-frequency space. The results suggest intense and positive co-movements in Asia after the Asian financial crisis of 1997 at all frequencies. In addition, the Asian gold spot markets depict a state of impending perfect market integration. Finally, Thailand emerges as the potential market leader in all wavelet scales except one, which is led by India. The study has important implications for international diversification of a single-asset (gold) portfolio.</P> <P><B>Highlights</B></P> <P> <UL> <LI> Cross-country co-movements and the integration dynamics in Asian gold spot markets is gauged using wavelet-based analysis. </LI> <LI> The results suggest intense and positive co-movements in Asia after the Asian financial crisis of 1997 at all frequencies. </LI> <LI> The Asian gold spot markets depict a state of impending perfect market integration. </LI> <LI> Thailand emerges as the potential market leader in all wavelet scales except one, which is led by India. </LI> </UL> </P>
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Mensi, Walid,Lee, Yun-Jung,Al-Yahyaee, Khamis Hamed,Sensoy, Ahmet,Yoon, Seong-Min Elsevier Science B.V. Amsterdam 2019 FINANCE RESEARCH LETTERS Vol.31 No.-
<P><B>Abstract</B></P> <P>This study examines high-frequency asymmetric multifractality, long memory, and weak-form efficiency for two major cryptocurrencies, namely, Bitcoin (BTC) and Ethereum (ETH), using the asymmetric multifractal detrended fluctuation analysis method to consider different market patterns. Our results show evidence of structural breaks and asymmetric multifractality. Moreover, the multifractality gap between the uptrend and downtrend is small when the time scale is small, and it increases as the time scale increases. The BTC market is more inefficient than ETH. The inefficiency is more (less) accentuated when the market follows a downward (upward) movement. The efficiency level varies based on each subperiod.</P> <P><B>Highlights</B></P> <P> <UL> <LI> Long memory and weak-form efficiency of cryptocurrency market are examined. </LI> <LI> High-frequency data of two major cryptocurrencies, Bitcoin and Ethereum, are used. </LI> <LI> Asymmetric multifractal detrended fluctuation analysis method is applied. </LI> <LI> Structural breaks, long memory, and asymmetric multifractality are in both markets. </LI> <LI> The Bitcoin market is more inefficient for overall, upward, and downward trends. </LI> </UL> </P>
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