Liquidity Spillover in International Stock Markets through Distinct Time Scales

Marcelo Righi () and Kelmara Mendes Vieira

PLOS ONE, 2014, vol. 9, issue 1, 1-10

Abstract: This paper identifies liquidity spillovers through different time scales based on a wavelet multiscaling method. We decompose daily data from U.S., British, Brazilian and Hong Kong stock markets indices in order to calculate the scale correlation between their illiquidities. The sample is divided in order to consider non-crisis, sub-prime crisis and Eurozone crisis. We find that there are changes in correlations of distinct scales and different periods. Association in finest scales is smaller than in coarse scales. There is a rise on associations in periods of crisis. In frequencies, there is predominance for significant distinctions involving the coarsest scale, while for crises periods there is predominance for distinctions on the finest scale.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:plo:pone00:0086134

DOI: 10.1371/journal.pone.0086134

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