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International Comovement Of Stock Market Returns: A Wavelet Analysis

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Executive Summary

The assessment of the comovement among international stock markets is of key interest, for example, for the international portfolio diversification literature. In this paper, the author re-examines 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

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