International comovement of stock market returns: A wavelet analysis

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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.

Original languageEnglish
Pages (from-to)632-639
Number of pages8
JournalJournal Of Empirical Finance
Issue number4
Publication statusPublished - 1 Sept 2009


  • Comovement
  • International stock markets
  • Time-frequency space
  • Wavelets


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