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

Baruník, Jozef; Vácha, Lukáš; Krištoufek, Ladislav

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

1.

SYSNO ASEP	0347765
Document Type	C - Proceedings Paper (int. conf.)
R&D Document Type	Conference Paper
Title	Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data
Author(s)	Baruník, Jozef (UTIA-B)_{RID, ORCID} Vácha, Lukáš (UTIA-B)_RID Krištoufek, Ladislav (UTIA-B)_{RID, ORCID}
Source Title	28th International Conference on Mathematical Methods in Economics 2010, Part II. - České Budějovice : University of South Bohemia in České Budějovice, Faculty of Economy, 2010 / Houda Michal ; Friebelová Jana - ISBN 978-80-7394-218-2
Pages	s. 12-17
Number of pages	6 s.
Action	Mathematical Methods in Economics 2010
Event date	08.09.2010-10.09.2010
VEvent location	České Budějovice
Country	CZ - Czech Republic
Event type	EUR
Language	eng - English
Country	CZ - Czech Republic
Keywords	comovement ; contagion ; wavelet analysis ; wavelet coherence
Subject RIV	AH - Economics
R&D Projects	GA402/09/0965 GA ČR - Czech Science Foundation (CSF)
	GD402/09/H045 GA ČR - Czech Science Foundation (CSF)
	GP402/08/P207 GA ČR - Czech Science Foundation (CSF)
CEZ	AV0Z10750506 - UTIA-B (2005-2011)
Annotation	In this paper, we contribute to the literature on international stock market comovement and contagion. 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 completely different way. Major part of economic time series analysis is done in time or frequency domain separately. Wavelet analysis can combine these two funda- mental approaches, so we can work in time-frequency domain. Using wavelet coherence, we have found very interesting dynamics of cross-correlations be- tween Central European and Western European stock markets. We analyze the high-frequency (5 minute) and low-frequency (daily) data of Czech (PX), Hungarian (BUX) and Polish (WIG) stock indices with a benchmark of German stock index (DAX) on the period of 2008-2009. Our findings provide possibility of a new approach to financial risk modeling.
Workplace	Institute of Information Theory and Automation
Contact	Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
Year of Publishing	2011

Number of the records: 1