TY - JOUR
T1 - International comovement of stock market returns
T2 - A wavelet analysis
AU - Rua, António
AU - Nunes, Luís C.
PY - 2009/9/1
Y1 - 2009/9/1
N2 - 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.
AB - 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.
KW - Comovement
KW - International stock markets
KW - Time-frequency space
KW - Wavelets
UR - http://www.scopus.com/inward/record.url?scp=67650635165&partnerID=8YFLogxK
U2 - 10.1016/j.jempfin.2009.02.002
DO - 10.1016/j.jempfin.2009.02.002
M3 - Article
AN - SCOPUS:67650635165
SN - 0927-5398
VL - 16
SP - 632
EP - 639
JO - Journal Of Empirical Finance
JF - Journal Of Empirical Finance
IS - 4
ER -