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Frequency aspects of information transmission in a network of three western equity markets

Harald Schmidbauer, Angi Rösch and Erhan Uluceviz

Physica A: Statistical Mechanics and its Applications, 2017, vol. 486, issue C, 933-946

Abstract: Cycles in the behavior of stock markets have been widely documented. There is an increasing body of literature on whether stock markets anticipate business cycles or its turning points. Several recent studies assert that financial integration impacts positively on business cycle comovements of economies.

Keywords: Equity market network; Propagation value; Cycle; Synchronization; Wavelet analysis; Phase difference (search for similar items in EconPapers)
JEL-codes: C32 C58 E32 F44 G15 (search for similar items in EconPapers)
Date: 2017
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Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

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