The Time Dependence and Interconnectedness of Developed Stock Markets

Bogdan Dima, Stefana Maria Dima and Anca-Adriana Saraolu (Ionascuti)

The Review of Finance and Banking, 2024, vol. 16, issue 2, 273-293

Abstract: This study examines the interconnectedness in developed stock markets by focusing on the time dependence of their multi-vocal relationships. Conceptually, we discuss the differences between financial contagion, interconnectedness and dominance in order to highlight the argument that stock markets are functionally connected. For capturing the shifts in markets’ correlation patterns over time, and their frequencies, we employ a methodology in the framework of Wavelet Local Multiple Correlation (WLMC). We have involved in the analysis three developed stock markets, on a long-time span from 2005-2024. Our findings suggest that the correlation pattern displays significant variations over time at different frequencies.

Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://rfb.ase.ro/articole/RFB_2024V2_art_6.pdf Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rfb:journl:v:16:y:2024:i:2:p:273-293

Access Statistics for this article

The Review of Finance and Banking is currently edited by Victor Dragota; Bogdan Negrea

More articles in The Review of Finance and Banking from Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante Strada Mihai Eminescu nr.13-15, sector 1, Bucuresti, Romania. Contact information at EDIRC.
Bibliographic data for series maintained by Tatu Lucian ().