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Original title:
Comovement of Central European stock markets using wavelet coherence: Evidence from high-frequency data
Authors: Baruník, Jozef ; Vácha, Lukáš ; Krištoufek, Ladislav
Document type: Papers
Conference/Event: Mathematical Methods in Economics 2010, České Budějovice (CZ), 2010-09-08 / 2010-09-10
Year: 2010
Language: eng
Abstract: In this paper, we contribute to the literature on international stock market comovement and contagion. The novelty of our approach lies in usage of wavelet tools to high-frequency financial market data, which allows us to understand the relationship between stock market returns in completely different way. Major part of economic time series analysis is done in time or frequency domain separately. Wavelet analysis can combine these two funda- mental approaches, so we can work in time-frequency domain. Using wavelet coherence, we have found very interesting dynamics of cross-correlations be- tween Central European and Western European stock markets. We analyze the high-frequency (5 minute) and low-frequency (daily) data of Czech (PX), Hungarian (BUX) and Polish (WIG) stock indices with a benchmark of German stock index (DAX) on the period of 2008-2009. Our findings provide possibility of a new approach to financial risk modeling.
Keywords: comovement; contagion; wavelet analysis; wavelet coherence
Project no.: CEZ:AV0Z10750506 (CEP), GA402/09/0965 (CEP), GD402/09/H045 (CEP), GP402/08/P207 (CEP)
Funding provider: GA ČR, GA ČR, GA ČR
Host item entry: 28th International Conference on Mathematical Methods in Economics 2010, ISBN 978-80-7394-218-2
Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2010/E/barunik-0347765.pdf
Original record: http://hdl.handle.net/11104/0188468
Permalink: http://www.nusl.cz/ntk/nusl-41728
The record appears in these collections:
Research > Institutes ASCR > Institute of Information Theory and Automation
Conference materials > Papers
Authors: Baruník, Jozef ; Vácha, Lukáš ; Krištoufek, Ladislav
Document type: Papers
Conference/Event: Mathematical Methods in Economics 2010, České Budějovice (CZ), 2010-09-08 / 2010-09-10
Year: 2010
Language: eng
Abstract: In this paper, we contribute to the literature on international stock market comovement and contagion. The novelty of our approach lies in usage of wavelet tools to high-frequency financial market data, which allows us to understand the relationship between stock market returns in completely different way. Major part of economic time series analysis is done in time or frequency domain separately. Wavelet analysis can combine these two funda- mental approaches, so we can work in time-frequency domain. Using wavelet coherence, we have found very interesting dynamics of cross-correlations be- tween Central European and Western European stock markets. We analyze the high-frequency (5 minute) and low-frequency (daily) data of Czech (PX), Hungarian (BUX) and Polish (WIG) stock indices with a benchmark of German stock index (DAX) on the period of 2008-2009. Our findings provide possibility of a new approach to financial risk modeling.
Keywords: comovement; contagion; wavelet analysis; wavelet coherence
Project no.: CEZ:AV0Z10750506 (CEP), GA402/09/0965 (CEP), GD402/09/H045 (CEP), GP402/08/P207 (CEP)
Funding provider: GA ČR, GA ČR, GA ČR
Host item entry: 28th International Conference on Mathematical Methods in Economics 2010, ISBN 978-80-7394-218-2
Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2010/E/barunik-0347765.pdf
Original record: http://hdl.handle.net/11104/0188468
Permalink: http://www.nusl.cz/ntk/nusl-41728
The record appears in these collections:
Research > Institutes ASCR > Institute of Information Theory and Automation
Conference materials > Papers
Record created 2011-07-01, last modified 2024-01-26