Is China a safe haven for Asian Tigers?

摘要

Abstract This paper presents a number of noteworthy innovations that can be used to test the hedge and safe haven properties of Chinese stocks against stocks from four East Asian countries commonly referred to as the Asian Tigers. First and foremost, the hedge property of Chinese stocks was tested at different frequencies. Secondly, based on assertions of the Fractal Market Hypothesis, for the first time (to the best of our knowledge), turbulent periods in stock markets were identified by estimating the wavelet power spectra of stock returns. Thirdly, the safe haven property of stocks was analysed by estimating their coherence and phase angle during the identified turbulent periods. It is inferred that Chinese stocks can be used as both a weak hedge as well as weak safe haven against stocks of the Asian Tigers.