International comovement of stock market returns: A wavelet analysis
AbstractThe assessment of the comovement among international stock markets is of key interest, for example, for the international portfolio diversification literature. In this paper, we re-examine such comovement by resorting to a novel approach, wavelet analysis. Wavelet analysis allows one to measure the comovement in the time-frequency space. In this way, one can characterize how international stock returns relate in the time and frequency domains simultaneously, which allows one to provide a richer analysis of the comovement. We focus on Germany, Japan, UK and US and the analysis is done at both the aggregate and sectoral levels.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Empirical Finance.
Volume (Year): 16 (2009)
Issue (Month): 4 (September)
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Web page: http://www.elsevier.com/locate/jempfin
International stock markets Comovement Wavelets Time-frequency space;
Other versions of this item:
- António Rua & Luís Catela Nunes, 2009. "International comovement of stock market returns: a wavelet analysis," Working Papers w200904, Banco de Portugal, Economics and Research Department.
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- F30 - International Economics - - International Finance - - - General
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