Chulalongkorn University Theses and Dissertations (Chula ETD)
Other Title (Parallel Title in Other Language of ETD)
ความเคลื่อนไหวร่วมระหว่างตลาดหุ้นไทยและจีนโดยการใช้วิธีเวฟเล็ต
Year (A.D.)
2021
Document Type
Independent Study
First Advisor
Tanawit Sae-Sue
Faculty/College
Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)
Department (if any)
Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)
Degree Name
Master of Science
Degree Level
Master's Degree
Degree Discipline
Finance
DOI
10.58837/CHULA.IS.2021.74
Abstract
This paper applied the MODWT wavelet method to decompose correlations of the stock market of Thailand and China into different time scales and frequencies. The decomposed correlations are then examined and compared between short-term and long-term, and also between different time periods when the interdependence of two markets is expected to change. The result shows that long-term correlation is not significantly higher and sometimes is significantly lower than the short-term, whereas the correlation does significantly increase from 2005 to 2020. Furthermore, the paper investigates the effectiveness of using the correlation in the suitable time scale and frequency in an application of a minimum variance portfolio. By comparing the traditional correlation and correlation obtained from the wavelet method, we found that the minimum variance portfolio from the wavelet method performs better. The result implied that the wavelet method support investors and policymakers to understand the linkage between two markets and make better decisions based on the co-movement of returns.
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Recommended Citation
Sun, Shilei, "The co-movement between equity markets of Thailand and China : a wavelet-based approach" (2021). Chulalongkorn University Theses and Dissertations (Chula ETD). 7690.
https://digital.car.chula.ac.th/chulaetd/7690