Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83377
Authors: 
Baruník, Jozef
Vácha, Lukáš
Krištoufek, Ladislav
Year of Publication: 
2011
Series/Report no.: 
IES Working Paper 22/2011
Abstract: 
In this paper, we contribute to the literature on international stock market comovement. 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 a different way. Major part of economic time series analysis is done in time or frequency domain separately. Wavelet analysis can combine these two fundamental approaches, so we can work in time-frequency domain. Using wavelet power spectra and wavelet coherence, we have uncovered interesting dynamics of cross-correlations between Central European and Western European stock markets using high-frequency data. Our findings provide possibility of a new approach to financial risk modeling.
Subjects: 
comovement
stock market
wavelet analysis
wavelet coherence
JEL: 
C22
C40
E32
F30
G15
Document Type: 
Working Paper
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