Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83316
Authors: 
Baruník, Jozef
Vácha, Lukáš
Year of Publication: 
2009
Series/Report no.: 
IES Working Paper 23/2009
Abstract: 
In the paper we test for the different reactions of stock markets to the current financial crisis. We focus on Central European stock markets, namely the Czech, Polish and Hungarian ones, and compare them to the German and U.S. benchmark stock markets. Using wavelet analysis, we decompose a time series into frequency components called scales and measure their energy contribution. The energy of a scale is proportional to its wavelet variance. The decompositions of the tested stock markets show changes in the energies on the scales during the current financial crisis. The results indicate that each of the tested stock markets reacted differently to the current financial crisis. More important, Central European stock markets seem to have strongly different behaviour during the crisis.
Subjects: 
wavelet analysis
multiresolution analysis
Central European stock markets
financial crisis
JEL: 
C14
C22
G15
Document Type: 
Working Paper
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