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Article
Publication date: 1 November 2010

Mohamed A. El‐Gebeily, Shafiqur Rehman, Luai M. Al‐Hadhrami and Jaafar AlMutawa

The present study utilizes daily mean time series of meteorological parameters (air temperature, relative humidity, barometric pressure and wind speed) and daily totals of…

Abstract

The present study utilizes daily mean time series of meteorological parameters (air temperature, relative humidity, barometric pressure and wind speed) and daily totals of rainfall data to understand the changes in these parameters during 17 years period i.e. 1990 to 2006. The analysis of the above data is made using continuous and discrete wavelet transforms because it provides a time‐frequency representation of an analyzed signal in the time domain. Moreover, in the recent years, wavelet methods have become useful and powerful tools for analysis of the variations, periodicities, trends in time series in general and meteorological parameters in particular. In present study, both continues and discrete wavelet transforms were used and found to be capable of showing the increasing or decreasing trends of the meterorological parameters with. The seasonal variability was also very well represented by the wavelet analysis used in this study. High levels of compressions were obtained retaining the originality of the signals.

Details

World Journal of Science, Technology and Sustainable Development, vol. 7 no. 4
Type: Research Article
ISSN: 2042-5945

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Article
Publication date: 9 February 2021

Ngo Thai Hung

This study aims to analyze the dynamic relationship between the Bitcoin market and the conventional asset classes in India

Abstract

Purpose

This study aims to analyze the dynamic relationship between the Bitcoin market and the conventional asset classes in India

Design/methodology/approach

This paper aims to cast light on the dynamic linkages between Bitcoin prices and other conventional asset classes in India by using the wavelet transform frameworks, which can allow us to analyze components of time series without losing the information. To do that, the techniques used with the data set include wavelet-based covariance, correlation, coherence spectrum, continuous power spectrum and Granger causality test.

Findings

The findings of the study suggest that interrelationships between Bitcoin and the key financial asset returns are statistically significant at low, medium and high frequencies. This study also finds the existence of the unidirectional connectedness between Bitcoin the other assets in India.

Practical implications

The outcome of the analysis calls for substantial policy implications for investors, portfolio management in India. This research on the existence of the interconnectedness between Bitcoin and other conventional asset classes in a specific country context, India can, therefore, make a significant contribution to the contemporary debate about the speculative nature of the cryptocurrencies. It casts light on whether Bitcoin provides any diversification and risk management benefits for Indian, as well as global investors.

Originality/value

To the best of the author’s knowledge, this is the first paper investigating the interrelatedness between Bitcoin and key conventional asset classes in India. This research makes methodological advancements by using the wavelet coherence transform. The findings provide empirical bases from which to deal with issues regarding hedging purposes and optimal portfolio allocation for an increasing number of investors in the Indian context. Therefore, the main contribution of this study to related literature in this field is significant.

Details

Journal of Indian Business Research, vol. 13 no. 2
Type: Research Article
ISSN: 1755-4195

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Article
Publication date: 29 March 2013

Mikko Ranta

The purpose of this paper is to examine contagion among the major world markets during the last 25 years and propose a new way to analyze contagion with wavelet methods.

Abstract

Purpose

The purpose of this paper is to examine contagion among the major world markets during the last 25 years and propose a new way to analyze contagion with wavelet methods.

Design/methodology/approach

The analysis uses a novel way to study contagion using wavelet methods. The comparison is made between co‐movements at different time scales. Co‐movement methods of the discrete wavelet transform and the continuous wavelet transform are applied.

Findings

Clear signs of contagion among the major markets are found. Short time scale co‐movements increase during the major crisis while long time scale co‐movements remain approximately at the same level. In addition, gradually increasing interdependence between markets is found.

Research limitations/implications

Because of the chosen method, the approach is limited to large data sets.

Practical implications

The research has practical implications to portfolio managers etc. who wish to have better view of the dynamics of the international equity markets.

Originality/value

The research uses novel wavelet methods to analyze world equity markets. These methods allow the markets to be analyzed in the whole state space.

Details

International Journal of Managerial Finance, vol. 9 no. 2
Type: Research Article
ISSN: 1743-9132

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Article
Publication date: 1 March 1997

P.I.J. Keeton and F.S. Schlindwein

Provides an introduction into wavelets and illustrates their application with two examples. The wavelet transform provides the analyst with a scaleable time‐frequency…

Abstract

Provides an introduction into wavelets and illustrates their application with two examples. The wavelet transform provides the analyst with a scaleable time‐frequency representation of the signal, which may uncover details not evidenced by conventional signal processing techniques. The signals used in this paper are Doppler ultrasound recordings of blood flow velocity taken from the internal carotid artery and the femoral artery. Shows how wavelets can be used as an alternative signal processing tool to the short time Fourier transform for the extraction of the time‐frequency distribution of Doppler ultrasound signals. Implements wavelet‐based adaptive filtering for the extraction of maximum blood velocity envelopes in the post processing of Doppler signals.

Details

Sensor Review, vol. 17 no. 1
Type: Research Article
ISSN: 0260-2288

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Book part
Publication date: 14 December 2018

Ramazan Yildirim and Mansur Masih

The purpose of this chapter is to analyze the possible portfolio diversification opportunities between Asian Islamic market and other regions’ Islamic markets; namely USA…

Abstract

The purpose of this chapter is to analyze the possible portfolio diversification opportunities between Asian Islamic market and other regions’ Islamic markets; namely USA, Europe, and BRIC. This study makes the initial attempt to fill in the gaps of previous studies by focusing on the proxies of global Islamic markets to identify the correlations among those selected markets by employing the recent econometric methodologies such as multivariate generalized autoregressive conditional heteroscedastic–dynamic conditional correlations (MGARCH–DCC), maximum overlap discrete wavelet transform (MODWT), and the continuous wavelet transform (CWT). By utilizing the MGARCH-DCC, this chapter tries to identify the strength of the time-varying correlation among the markets. However, to see the time-scale-dependent nature of these mentioned correlations, the authors utilized CWT. For robustness, the authors have applied MODWT methodology as well. The findings tend to indicate that the Asian investors have better portfolio diversification opportunities with the US markets, followed by the European markets. BRIC markets do not offer any portfolio diversification benefits, which may be explained partly by the fact that the Asian markets cover partially the same countries of BRIC markets, namely India and China. Considering the time horizon dimension, the results narrow down the portfolio diversification opportunities only to the short-term investment horizons. The very short-run investors (up to eight days only) can benefit through portfolio diversification, especially in the US and European markets. The above-mentioned results have policy implications for the Asian Islamic investors (e.g., Portfolio Management and Strategic Investment Management).

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Article
Publication date: 9 August 2021

Burak Çıkıryel, Hakan Aslan and Mücahit Özdemir

This paper aims to study the co-movement dynamics of Islamic equity returns to explain international portfolio diversification opportunities for investors having a…

Abstract

Purpose

This paper aims to study the co-movement dynamics of Islamic equity returns to explain international portfolio diversification opportunities for investors having a heterogeneous stock holding period in light of Brexit.

Design/methodology/approach

The authors use the following three recent methodologies: the multivariate generalised autoregressive conditional heteroskedastic-dynamic conditional correlations, continuous wavelet transforms and maximum overlap discrete wavelet transform. Dow Jones Islamic country-based indexes are used from 2 September 2013 to 31 December 2019.

Findings

There is a high correlation between the United Kingdom (UK) Islamic stock market return with the Canadian, USA, Malaysian and Indian implying lesser diversification benefits for the investors. However, the results tend to indicate that UK Islamic stock market investors who have allocated their investment in Sri Lanka, Kuwait, Japan and Turkey have enjoyed diversification benefits. Besides, there is a declining correlation between UK Islamic stock markets and other selected markets aftermath of Brexit. Turkey seems the most volatile stock over the period, appealing to risk-lover investors to gain from price changes. When the shock occurs in the financial sector, the volatility is mean-reverting faster than other markets in Sri Lanka. On the other hand, Malaysia appears to have the least volatility implying a stable financial sector.

Research limitations/implications

The results tend to shed light on effective portfolio diversification benefits in light of the recent shock (Brexit) between the UK Islamic stock index and other selected indexes that vary from country to country depending on investment horizons. This critically confirms the significance of heterogeneity in investment horizons and provides significant inferences for portfolio diversification strategies.

Originality/value

To the best of the authors’ knowledge, this study is the first study investigating the Brexit effect on Islamic stocks, guiding Shariah sensitive investors in their diversification strategies, providing information to investors to consider the implications of this incident on Islamic stocks for future shocks.

Details

International Journal of Islamic and Middle Eastern Finance and Management, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1753-8394

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Article
Publication date: 6 October 2021

Samah Hazgui, Saber Sebai and Walid Mensi

This paper aims to examine the frequency of co-movements and asymmetric dependencies between bitcoin (BTC), gold, Brent crude oil and the US economic policy uncertainty…

Abstract

Purpose

This paper aims to examine the frequency of co-movements and asymmetric dependencies between bitcoin (BTC), gold, Brent crude oil and the US economic policy uncertainty (EPU) index.

Design/methodology/approach

The authors use a wavelet approach and a quantile-on-quantile regression (QQR) method.

Findings

The results show a positive interdependence between BTC and commodity price returns at both medium and low frequencies over the sample period. In contrast, the dependence is negative between BTC and EPU index at both medium and low frequencies. Furthermore, the co-movements between markets are more pronounced during crises. The results show that strategic commodities and EPU index have the ability to predict BTC price returns at both medium- and long-terms. The QQR method reveals that higher gold returns tend to predict higher/lower BTC returns when the market is in a bullish/bearish state. Moreover, lower gold returns tend to predict lower (higher) BTC returns when the market is in a bearish (bullish) state (positive (negative) relationship). The lower Brent returns tend to predict higher/lower BTC returns when the market is in a bullish/bearish state. High Brent quantiles tend to predict the lower BTC returns in its extremely bearish states. Finally, higher and lower EPU changes tend to predict lower and higher BTC returns when the market is in a bearish/bullish state (negative relationship).

Originality/value

There is generally a lack of understanding of the linkages between BTC, gold, oil and uncertainty index across multiple frequencies. This is, as far as the authors know, the first attempt to apply both the wavelet approach and a QQR method to examine the multiscale linkages among markets under study. The findings should encourage the relevant policymakers to consider these co-movements which vary over time and in duration when setting up regulations that deem to enhance the market efficiency.

Details

Studies in Economics and Finance, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1086-7376

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Article
Publication date: 8 January 2018

Jiusheng Bao, Yan Yin, Lijian Lu and Tonggang Liu

The purpose of this study is to establish an effective method for characterizing the tribological properties of friction brakes during continuous braking because they have…

Abstract

Purpose

The purpose of this study is to establish an effective method for characterizing the tribological properties of friction brakes during continuous braking because they have direct influences on the reliable operation of transport vehicles and industrial equipments.

Design/methodology/approach

First, tribological tests were carried out with the X-DM type friction tester, and changing curves of friction coefficient and temperature were obtained. Second, a novel tribological characteristic parameter set characterizing the tribological properties of brake pair in continuous braking was extracted from some important experimental data such as friction coefficient, wear rate and temperature. Finally, the influence of law and mechanism of braking number on dynamic tribological parameters was studied through continuous braking experiments.

Findings

The extracted tribological characteristic parameter set includes two subsets: dynamic characteristic parameter subset and overall characteristic parameter subset, which is composed of ten parameters: dynamic parameters of friction coefficient (including average, trend coefficient and stability coefficient), dynamic wear rate, dynamic average temperature, dynamic temperature rise, overall average friction coefficient, overall wear rate, overall average temperature and overall temperature rise.

Originality/value

Conclusively, the novel tribological characteristic parameter set is more comprehensive and objective, and it can provide a theoretical basis for the study of tribological properties in continuous braking.

Details

Industrial Lubrication and Tribology, vol. 70 no. 1
Type: Research Article
ISSN: 0036-8792

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Article
Publication date: 7 August 2017

Malepati Jayashankar and Badri Narayan Rath

The purpose of this study is to examine linkage between exchange rate, stock return and interest rate for India.

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Abstract

Purpose

The purpose of this study is to examine linkage between exchange rate, stock return and interest rate for India.

Design/methodology/approach

Using monthly data from January 2000 to December 2014, this study has scrutinized the linkage between exchange rate, stock return and interest rate using maximum overlap discrete wavelet transform (MODWT) which is very much appropriate when the variables are discrete in nature.

Findings

Our major findings indicate that the empirical relationship between these variables is not significant at lower scales. As we go on higher scales, there is a clear linkage between them, and three markets are associated with each other. Moreover, the direction and type of the relationship depends on the frequency bands, and finally with the help of Granger causality tests, we established a lead/lag relationship between stock price, exchange rate and interest rate.

Research limitations/implications

The linkage between stock market, foreign exchange market and money market in case of emerging countries like India is more relevant because negative or positive shocks affecting one market may be transmitted quickly to another through contagious effect.

Originality/value

Little attention has been given to examine the link between stock return, exchange rate and interest rate in India. This study adopts a more sophisticated MODWT approach for examining the cross-correlation and causality.

Details

Studies in Economics and Finance, vol. 34 no. 3
Type: Research Article
ISSN: 1086-7376

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Article
Publication date: 16 August 2013

Qinglong An, Dapeng Dong, Xiaohu Zheng, Ming Chen and Xibin Wang

The objective of this study is to develop an automated tool condition monitoring scheme for PCB drilling.

Abstract

Purpose

The objective of this study is to develop an automated tool condition monitoring scheme for PCB drilling.

Design/methodology/approach

Vibration signals are used to distinguish micro drill wear stages with proper features extraction and classifier design. Then a tool condition monitoring system is built up through a back propagation neural network (BPNN).

Findings

Experimental results show that BPNN is a practical method of modeling tool wear, and with this method a tool condition monitoring system is built up using energy ratio, root mean square (RMS) and kurtosis coefficient that transformed by vibration signals.

Research limitations/implications

In the further investigation, more signal samples should be computed as monitoring features for BPNN modeling. In addition, in order to build the best monitoring model, it is necessary to evaluate the performance of the BPNN model in advance, and optimize the process.

Originality/value

The paper provides a method and a system for PCB drill wear monitoring. The method and system can achieve on‐line monitoring of PCB drill condition.

1 – 10 of 601