International comovement of stock market returns
Autor(a) principal: | |
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Data de Publicação: | 2009 |
Outros Autores: | |
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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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 |
dc.source.none.fl_str_mv |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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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1799138100053540864 |