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Co-movement of the Finnish and international stock markets: a wavelet analysis

Listed author(s):
  • Michael Graham
  • Jussi Nikkinen
Registered author(s):

    We use wavelet analysis to examine the short-term and long-term co-movement of international stock markets from a European perspective. First, we assess the co-movement of the Finnish stock market with stock markets in both developed and emerging economies. Second, the co-movement of five major European markets and a global equity portfolio is analysed. Our results show that the co-movement of Finland and the emerging market regions is confined to long-term fluctuations. We also find evidence of co-movement between Finland and the developed regions in Europe, the Pacific, and North America across all frequencies, with higher levels of co-movement in higher frequencies toward the end of the return series. Furthermore, the results suggest that little may be gained by diversifying from a country stock portfolio from the perspective of investors in France, Germany, Switzerland, and the UK into a global stock portfolio, whereas diversifying into the Finnish market would be advantageous.

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    Article provided by Taylor & Francis Journals in its journal The European Journal of Finance.

    Volume (Year): 17 (2011)
    Issue (Month): 5-6 ()
    Pages: 409-425

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    Handle: RePEc:taf:eurjfi:v:17:y:2011:i:5-6:p:409-425
    DOI: 10.1080/1351847X.2010.543839
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