Pre- and post-1987 crash frequency domain analysis among Pacific Rim equity markets

This paper uses the method of cross spectral analysis to examine preand post-1987 crash comovements among several Pacific Rim markets. The results support increased post-crash comovements among the markets. Each of the pairwise median coherences was greater in the post-crash period. The same is true for the post-crash mean coherences, with one exception. The nonparametric Wilcoxon Z statistics indicate that the preand post-crash coherences were drawn from different populations in seven of the eight pairwise market comparisons. Phase lead results indicate that the post-crash phase leads in four of the eight pairwise comparisons were smaller than in the pre-crash period, while post-crash phase leads did not fall in any of the market comparisons. © 2001 Elsevier Science B.V. All rights reserved. JEL classification: G15