Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data

0367060 - ÚTIA 2012 CZ eng J - Článek v odborném periodiku
Baruník, Jozef - Vácha, Lukáš - Krištoufek, Ladislav
Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data.
IES Working Papers. Roč. 2011, č. 22 (2011), s. 1-22
Grant CEP: GA ČR GD402/09/H045; GA ČR GA402/09/0965
Grant ostatní: GAUK(CZ) 118310
Výzkumný záměr: CEZ:AV0Z10750506
Klíčová slova: comovement * stock market * wavelet analysis * wavelet coherence
Kód oboru RIV: AH - Ekonomie
http://library.utia.cas.cz/separaty/2011/E/barunik-0367060.pdf

In this paper, we contribute to the literature on international stock market comovement. The novelty of our approach lies in usage of wavelet tools to high- frequency financial market data, which allows us to understand the relationship between stock market returns in a different way. Major part of economic time series analysis is done in time or frequency domain separately. Wavelet analysis can combine these two fundamental approaches, so we can work in time-frequency domain. Using wavelet power spectra and wavelet coherence, we have uncovered interesting dynamics of cross-correlations between Central European and Western European stock markets using high-frequency data. Our findings provide possibility of a new approach to financial risk modeling.
Trvalý link: http://hdl.handle.net/11104/0201846