International comovement of stock market returns

Detalhes bibliográficos
Autor(a) principal: Rua, António
Data de Publicação: 2009
Outros Autores: Nunes, Luís C.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/142328
Resumo: 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.
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spelling International comovement of stock market returnsA wavelet analysisComovementInternational stock marketsTime-frequency spaceWaveletsFinanceEconomics and EconometricsThe 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.NOVA School of Business and Economics (NOVA SBE)RUNRua, AntónioNunes, Luís C.2022-07-24T00:31:42Z2009-09-012009-09-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article8application/pdfhttp://hdl.handle.net/10362/142328eng0927-5398PURE: 12146044https://doi.org/10.1016/j.jempfin.2009.02.002info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:19:58Zoai:run.unl.pt:10362/142328Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:50:16.275062Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv International comovement of stock market returns
A wavelet analysis
title International comovement of stock market returns
spellingShingle International comovement of stock market returns
Rua, António
Comovement
International stock markets
Time-frequency space
Wavelets
Finance
Economics and Econometrics
title_short International comovement of stock market returns
title_full International comovement of stock market returns
title_fullStr International comovement of stock market returns
title_full_unstemmed International comovement of stock market returns
title_sort International comovement of stock market returns
author Rua, António
author_facet Rua, António
Nunes, Luís C.
author_role author
author2 Nunes, Luís C.
author2_role author
dc.contributor.none.fl_str_mv NOVA School of Business and Economics (NOVA SBE)
RUN
dc.contributor.author.fl_str_mv Rua, António
Nunes, Luís C.
dc.subject.por.fl_str_mv Comovement
International stock markets
Time-frequency space
Wavelets
Finance
Economics and Econometrics
topic Comovement
International stock markets
Time-frequency space
Wavelets
Finance
Economics and Econometrics
description 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.
publishDate 2009
dc.date.none.fl_str_mv 2009-09-01
2009-09-01T00:00:00Z
2022-07-24T00:31:42Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/142328
url http://hdl.handle.net/10362/142328
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 0927-5398
PURE: 12146044
https://doi.org/10.1016/j.jempfin.2009.02.002
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 8
application/pdf
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instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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