International comovement of stock market returns: a wavelet analysis
António Rua and
Luis Nunes ()
Working Papers from Banco de Portugal, Economics and Research Department
The assessment of the comovement among international stock markets is of key interest, for example, for the international portfolio diversification literature. In this paper, we re-examine such comovement by resorting to a novel approach, wavelet analysis. Wavelet analysis allows one to measure the comovement in the time-frequency space. In this way, one can characterize how international stock returns relate in the time and frequency domains simultaneously, which allows one to provide a richer analysis of the comovement. We focus on Germany, Japan, UK and US and the analysis is done at both the aggregate and sectoral levels.
JEL-codes: C40 E32 G15 F30 (search for similar items in EconPapers)
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Journal Article: International comovement of stock market returns: A wavelet analysis (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:ptu:wpaper:w200904
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