Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5054939 | Economic Modelling | 2013 | 16 Pages |
Abstract
Our innovative approach consists on carrying out a wavelet decomposition of return time series before investigating the correlation dynamics across stock markets during the recent financial crisis. It thus enables us to show how the contagion dynamics between international stock market returns are changing across time scales corresponding to investors with heterogeneous time horizons. Moreover, our results reveal that the contagion dynamics depends on the bull or bear periods of stock markets, on stock markets maturity, and on regional aspects. Therefore, all these finding should be considered from an international portfolio diversification perspective.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
François Benhmad,