International comovement of stock market returns: A wavelet analysis

被引：501

作者：

Rua, Antonio ^{[1
]}

Nunes, Luis C. ^{[2
,3
]}

机构：

[1] Banco Portugal, Econ Res Dept, P-1150012 Lisbon, Portugal

[2] Univ Nova Lisboa, Fac Econ, P-1099032 Lisbon, Portugal

[3] Univ Tecn Lisboa, ISEG, P-1200781 Lisbon, Portugal

来源：

JOURNAL OF EMPIRICAL FINANCE | 2009年 / 16卷 / 04期

关键词：

International stock markets; Comovement; Wavelets; Time-frequency space; INDUSTRIAL-STRUCTURE; ECONOMIC RELATIONSHIPS; EQUITY MARKETS; DIVERSIFICATION; DECOMPOSITION; TRANSMISSION; VOLATILITY; BULLS; GUIDE; BEARS;

D O I：

10.1016/j.jempfin.2009.02.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：632 / 639

页数：8

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