Wavelet Coherence Phase Research Articles

Impact of Geopolitical Risk on Financial Assets: Evidence from Time-Varying Parameter Var

Geopolitical events are expected to affect all countries, asset classes, and sectors. Vietnam is a large open economy, actively participating in a vast network of free trade agreements. Therefore, political conflicts in some regions will have both positive and negative impacts on the Vietnamese economy. Aiming to explore the dependency structure between the geopolitical risk index and stock market returns, this study has evaluated quite in-depth using the TVP-VAR method combining the wavelet coherence phase between February 2012 and April 2022. The results show that geopolitical risk has a heterogeneous effect on the return of financial assets, and the market does not respond to geopolitical tensions in a uniform manner. Our research uncovers new and interesting implications for policymakers and investors involved in the Vietnamese stock market.

Wavelet coherence phase analysis decodes the universal switching mechanism of Ras GTPase superfamily

The Ras superfamily of GTPases regulate critical cellular processes by shuttling between GTP-bound ON and GDP-bound OFF states. This switching mechanism is attributed to the conformational changes in two loops, SWI and SWII, upon GTP binding and hydrolysis. Since these conformational changes vary across the Ras superfamily, there is no generic parameter to define their functional states. A unique wavelet coherence (WC) analysis-based approach developed here shows that the structural changes in switch regions could be mapped onto the wavelet coherence phase couplings (WPCs). Thus, WPCs could serve as unique parameters to define their functional states. Disentanglement of WPCs in oncogenic GTPases shows how breakdown of structural allostery leads to their aberrant function. These observations stand out even for simulated ensemble of switch region conformers. Overall, for the first time, we show that WPCs could unravel the latent structural deviations in Ras proteins to decode their universal switching mechanism.

Emerging markets equities’ response to geopolitical risk: Time-frequency evidence from the Russian-Ukrainian conflict era

This study investigates the asymmetric interdependence between geopolitical risk (GPR) and the stock markets of the top-seven emerging (E7) countries (i.e., Mexico, Russia, Turkey, India, China, Indonesia, and Brazil) in the ongoing geopolitical conflict between Russia and Ukraine. With daily datasets covering the period 01-Feb-2022 to 25-July-2022, the squared wavelet coherence (SWC) and wavelet coherence phase difference (WCPD) techniques are employed. The results underscore heterogeneous and asymmetric market-specific coherence and lead-lag patterns regarding E7 stocks' interdependence with geopolitical risk. The findings imply high comovements between Black Swan events like the Russian-Ukrainian conflict and financial markets' volatility, highlighting the essence of alternative assets or asset classes for hedging geopolitical risks in the ongoing military actions. The heterogeneous and asymmetric responses offered by E7 stocks against GPR render emerging markets equities suitable for diversification and downside hedging strategies against GPR-induced shocks. The findings are robust to the time-varying parameter vector autoregression (TVP-VAR) connectedness approach. The results’ implications for portfolio managers, investors, and policymakers are discussed.

Investigating the wavelet coherence phase of the BOLD signal.

To investigate the temporal behavior of the blood oxygenation-level dependent (BOLD) signal applying the wavelet coherence phase to functional magnetic resonance imaging (fMRI) data. The wavelet coherence phase was computed for a group of four subjects using three functional runs of different visual stimulation lengths. In order to consider the variability of the wavelet coherence phase, a correlation analysis was performed between the variance of the phase shift and the associated activation strength. In activated brain regions, correlation was performed between the mean wavelet coherence phase and the spectral density phase shift. The scalograms of the wavelet coherence phase show the temporal variability of the phase shift between fMRI time series. For brain regions with weakly stationary behavior, the mean wavelet coherence phase supports the results obtained by spectral analyses. The wavelet coherence phase provides a description of the temporal behavior of the BOLD signal even for the nonstationary case. In particular, temporal changes of the phase shift can be investigated. This makes the wavelet coherence phase more suitable for the investigation of BOLD dynamics than an average phase lag obtained by correlation or spectral methods.