Bull or Bear markets

François Benhmad
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François Benhmad: UMR ART-Dev - Acteurs, Ressources et Territoires dans le Développement - Cirad - Centre de Coopération Internationale en Recherche Agronomique pour le Développement - UPVM - Université Paul-Valéry - Montpellier 3 - UPVD - Université de Perpignan Via Domitia - UM - Université de Montpellier - CNRS - Centre National de la Recherche Scientifique

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Abstract: In this paper, we contribute to the literature on the international stock market co-movements and contagion, especially during the recent subprime crisis, by researching the interconnections between international stock markets in time-frequency domain. Our innovative approach consists on carrying out a wavelet decomposition of return time series before investigating the correlation dynamics across stock markets during the recent financial crisis. It thus enables us to show how the contagion dynamics between international stock market returns are changing across time scales corresponding to investors with heterogeneous time horizons. Moreover, our results reveal that the contagion dynamics depends on the bull or bear periods of stock markets, on stock markets maturity, and on regional aspects. Therefore, all these finding should be considered from an international portfolio diversification perspective

Date: 2013
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Citations: View citations in EconPapers (28)

Published in Economic Modelling, 2013, 32 (May), pp.576-591. ⟨10.1016/j.econmod.2013.02.031⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03062493

DOI: 10.1016/j.econmod.2013.02.031

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