Abstract
In this article, we analyze the co-movements of nine Asian Forex markets China, India, Hong Kong, Malaysia, Indonesia, Singapore, Japan, Taiwan, Thailand, and South Korea using bilateral exchange rate against US Dollar from 03-01-2006 to 04-09-2015. We employ a wavelet-based methodology to analyze the extent to with the markets are correlated with each other across different timescales. It is found that the markets are moderately correlated at the intra-week scale and the extent of correlation increases with the increase in timescale. Near-perfect cointegration among the analyzed markets is found across annual–biannual timescale. The cross-correlation analysis shows that Singapore Forex market may lead the other Forex markets of the group across timescales from 16 to 64 days. Results indicate that there is a possibility of intervention as well as potential for portfolio diversification for the short term.
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Kumar, A.S., Kamaiah, B. (2017). Co-movement Among Asian Forex Markets: Evidence from Wavelet Methods. In: Kamaiah, B., Shylajan, C., Seshaiah, S., Aruna, M., Mukherjee, S. (eds) Current Issues in Economics and Finance. Springer, Singapore. https://doi.org/10.1007/978-981-10-5810-3_4
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DOI: https://doi.org/10.1007/978-981-10-5810-3_4
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