Wavelet Analysis of Central European Stock Market Behaviour During the Crisis

Jozef Baruník and Lukas Vacha

No 2009/23, Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

Abstract: In the paper we test for the different reactions of stock markets to the current financial crisis. We focus on Central European stock markets, namely the Czech, Polish and Hungarian ones, and compare them to the German and U.S. benchmark stock markets. Using wavelet analysis, we decompose a time series into frequency components called scales and measure their energy contribution. The energy of a scale is proportional to its wavelet variance. The decompositions of the tested stock markets show changes in the energies on the scales during the current financial crisis. The results indicate that each of the tested stock markets reacted differently to the current financial crisis. More important, Central European stock markets seem to have strongly different behaviour during the crisis.

Keywords: ewavelet analysis; multiresolution analysis; Central European stock markets; financial crisis (search for similar items in EconPapers)
JEL-codes: C14 C22 G15 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2009-10, Revised 2009-10
New Economics Papers: this item is included in nep-eec, nep-fmk and nep-tra
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Citations: View citations in EconPapers (1)

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