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  • Are interdependencies between Central and Eastern European and developed European stock markets returns multiscale? A wavelet lead/lag analysis
    Dajčman, Silvo
    This article investigates the interdependencies between CEE (Slovenian, Czech and Hungarian) and developed European (German, Austrian, French and UK) stock markets. Wavelet cross-correlation analysis ... is applied on daily return series to examine the lead/lag relationships between representative stock indices returns of the observed countries in time-frequency domain. The main findings of the paper may be summarized as follow: i) correlation between CEE and developed stock market return increased with time, ii) Hungarian and Czech stock markets are more correlated with developed European stock markets, Slovenian stock market is less, iii) Czech and Hungarian stock markets are not just more correlated with developed stock markets than those of Slovenian stock market.
    Vir: Actual problems of economics = Aktualʹni problemi ekonomìki. - ISSN 1993-6788 (no. 9 (135), 2012, str. 270-283)
    Vrsta gradiva - članek, sestavni del
    Leto - 2012
    Jezik - angleški
    COBISS.SI-ID - 11278364

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