کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5102619 | 1480087 | 2017 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Frequency aspects of information transmission in a network of three western equity markets
ترجمه فارسی عنوان
جنبه های فرکانس انتقال اطلاعات در شبکه ای از سه بازار سهام غرب
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
چکیده انگلیسی
A cross-wavelet analysis reveals the joint frequency structure of pairs of the propagation value series, in particular whether or not two series tend to move in the same direction at a given frequency. Our main findings are: (i)Â From 2001 onwards, the daily propagation values of markets have been fluctuating much less than before, and high frequencies have become less pronounced; (ii)Â the European markets are in phase at business cycle frequency, while the US market is not in phase with either European market; (iii)Â in 2008, the euro area has taken over the leading role. This approach not only provides new insight into the time-dependent interplay of equity markets, but it can also replicate certain findings of traditional business cycle research, and it has the advantage of using only readily available stock market data.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 486, 15 November 2017, Pages 933-946
Journal: Physica A: Statistical Mechanics and its Applications - Volume 486, 15 November 2017, Pages 933-946
نویسندگان
Harald Schmidbauer, Angi Rösch, Erhan Uluceviz,