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International comovement of stock market returns: A wavelet analysis

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  • Rua, António
  • Nunes, Luís C.

Abstract

The 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 Info

Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 16 (2009)
Issue (Month): 4 (September)
Pages: 632-639

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Handle: RePEc:eee:empfin:v:16:y:2009:i:4:p:632-639

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Web page: http://www.elsevier.com/locate/jempfin

Related research

Keywords: International stock markets Comovement Wavelets Time-frequency space;

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