Wavelet analysis of stock return energy decomposition and return comovement - a case of some central European and developed European stock markets

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dc.contributor.author Dajčman, Silvo
dc.contributor.author Kavkler, Alenka
dc.contributor.other Ekonomická fakulta cs
dc.date.accessioned 2014-03-04
dc.date.available 2014-03-04
dc.identifier.issn 12123609
dc.identifier.uri https://dspace.tul.cz/handle/15240/6764
dc.description.abstract In this article we investigate comovement of the three Central and Eastern European (CEE) stock markets (Slovenia, the Czech Republic and Hungary) with certain developed European stock markets (Austria, France, Germany and the United Kingdom) through the novel approach of maximal overlap discrete wavelet transform (MODWT). We use two features of MODWT to explore energy decomposition of stock market returns at different time scales and to apply methodology of [29] to study comovement between investigated stock markets. We show that most of the energy (variability) of stock market return series is captured by scale 1 (which correspond to 2–4 days return dynamics) and scale 2 (which correspond to 4-8 days return dynamics) MODWT coefficients. MODWT details are used to show that comovement between stock markets is scale-dependent and declines from raw (daily) return series to first- and second-scale reconstructed return series. The findings of the survey then have important implications for foreign financial investors who already hold international portfolios that exactly replicate those of non-Czech or non-Hungarian stock markets: international investing in the Czech or Hungarian stock markets with investment horizons corresponding to scale 2 (4 to 8 days) brings greater international diversification benefits than shorter (2 to 4 day horizon) international trading diversification strategies. The Slovenian stock market differs from the Czech and Hungarian markets also in this respect, as when the scale is increased the benefits of diversification are reduced. We also find that the volatility of Slovenian stock index returns is less synchronized with other observed stock return series. Interestingly, the Czech and Slovenian stock markets seem to comove with the Austrian stock market to a greater extent than with other developed stock markets. en
dc.format text
dc.format.extent 104-120 s. cs
dc.language.iso en
dc.publisher Technická Univerzita v Liberci cs
dc.publisher Technical university of Liberec, Czech Republic en
dc.relation.ispartof Ekonomie a Management cs
dc.relation.ispartof Economics and Management en
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dc.rights CC BY-NC
dc.subject Payment cards en
dc.subject Efficiency en
dc.subject DEA models en
dc.subject.classification F21
dc.subject.classification F36
dc.subject.classification G11
dc.subject.classification G15
dc.title Wavelet analysis of stock return energy decomposition and return comovement - a case of some central European and developed European stock markets en
dc.type Article en
dc.date.defense 2014-03-04
dc.publisher.abbreviation TUL
dc.relation.isrefereed true
dc.identifier.doi 10.15240/tul/001/2014-1-009
dc.identifier.eissn 2336-5604
local.relation.volume 17
local.relation.issue 1
local.relation.abbreviation E&M en
local.relation.abbreviation E+M cs
local.faculty Faculty of Economics
local.citation.spage 104
local.citation.epage 120
local.access open
local.fulltext yes

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