Premium
International stock market indices comovements: a new look
Author(s) -
Madaleno Mara,
Pinho Carlos
Publication year - 2012
Publication title -
international journal of finance and economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.505
H-Index - 39
eISSN - 1099-1158
pISSN - 1076-9307
DOI - 10.1002/ijfe.448
Subject(s) - economics , morlet wavelet , homogeneous , financial crisis , econometrics , stock market , financial economics , stock (firearms) , shock (circulatory) , phenomenon , cointegration , stock market index , monetary economics , wavelet , macroeconomics , wavelet transform , geography , mathematics , physics , context (archaeology) , archaeology , combinatorics , quantum mechanics , artificial intelligence , computer science , medicine , discrete wavelet transform
This study accounts for the time‐varying pattern of price shock transmission, exploring stock market linkages using continuous time wavelet methodology. In order to sustain and improve previous results regarding correlation analysis between stock market indices, namely FTSE100, DJIA30, Nikkei225 and Bovespa, we extend here such analysis using the Coherence Morlet Wavelet, considering financial crisis episodes. Results indicate that the relation among indices was strong but not homogeneous across scales, that local phenomenon's are more felt than others in these markets and that there seems to be no quick transmission through markets around the world, but yes a significant time delay. The relation among these indices has changed and evolved through time, mostly due to financial crisis that occurred at different time periods. Results also favor the view that geographically and economically closer markets exhibit higher correlation and more short run comovements among them. Strong comovement is mostly confined to long‐run fluctuations favoring contagion analysis. Copyright © 2011 John Wiley & Sons, Ltd.