Frequency aspects of information transmission in a network of three western equity markets
Angi Rösch and
Physica A: Statistical Mechanics and its Applications, 2017, vol. 486, issue C, 933-946
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)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:486:y:2017:i:c:p:933-946
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