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Continuous wavelet transform and rolling correlation of European stock markets

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  • Tiwari, Aviral Kumar
  • Mutascu, Mihai Ioan
  • Albulescu, Claudiu Tiberiu

Abstract

The purpose of this paper is to assess the level of co-movements, contagion and rolling correlation between the stock markets of the PIIGS and those of the UK and Germany. We thus resort to a novel time–frequency approach, namely the continuous wavelet transform, and we analyze the co-movements of the stock index returns at different frequency-scales. We also test the influence of different macroeconomic factors on stock markets co-movements at different time–frequencies. The wavelet analysis results show that, in the short-run, the correlation level is high only during financial distress episodes, while in the long-run, the co-movements are present for the entire analyzed horizon. In addition, at low-frequency levels, the PIIGS stock markets are more correlated with Germany than with the UK. An opposite result is obtained at high-frequency decomposition levels. We also discover that the stock markets' correlation does not increase after all crisis events and depends on the wavelet decomposition levels.

Suggested Citation

  • Tiwari, Aviral Kumar & Mutascu, Mihai Ioan & Albulescu, Claudiu Tiberiu, 2016. "Continuous wavelet transform and rolling correlation of European stock markets," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 237-256.
  • Handle: RePEc:eee:reveco:v:42:y:2016:i:c:p:237-256
    DOI: 10.1016/j.iref.2015.12.002
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    More about this item

    Keywords

    Portfolio risk management; Co-movements; Wavelet transform; Rolling wavelet correlation; European stock markets;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • F3 - International Economics - - International Finance
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
    • G1 - Financial Economics - - General Financial Markets

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