VSE knjižnice (vzajemna bibliografsko-kataložna baza podatkov COBIB.SI)
  • A comparative DCC-GARCH and rolling wavelet correlation analysis of interdependence between the Slovenian and European stock markets
    Dajčman, Silvo ; Kavkler, Alenka
    This paper examines the comovement and spillover dynamics between returns of the Slovenian and some European (the UK, German, French, Austrian, Hungarian and the Czech) stock markets. It aims to ... answer these question: i) Is correlation (comovement) between the Slovenian and European stock markets time-varying and scale dependent; ii) What effect did financial crises in the period from April 1997 to May 2010 have on the comovement between the Slovenian and European stock markets; iii) Are there return and volatility spillovers between European and Slovenian stock markets; iv) Do DCC-GARCH and wavelet correlation correlation estimates differ and which one should international investor resort to when making international stock market investments? A DCC-GARCH and maximal overlap discrete wavelet transform analysis is applied to returns series of representative national stock indicesfor the period April 1997- May 2010. The main findings of the paper are: i) Comovement between Slovenian and European stock markets is time-varying; ii) There are significant return spillovers between the Slovenian and European stock markets; iii) Return spillovers are not just time-varying, but also scale dependent; iv) The global financial crisis of 2007-2008 has increased comovement between the Slovenian and European stock markets; v) As the scale (frequency) increases, we can observe larger discrepancies between DCC-GARCH and wavelet correlation estimates suggesting one should resort to rolling wavelet correlation estimates when making longer horizon international portfolio decisions.
    Vir: Economic Computation and Economic Cybernetics Studies and Research. - ISSN 0424-267X (Vol. 45, no. 4, 2011, str. 99-118)
    Vrsta gradiva - članek, sestavni del
    Leto - 2011
    Jezik - angleški
    COBISS.SI-ID - 10958876

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