Co-movement of the finnish and international stock markets: A wavelet analysis

European Journal of Finance

Volumn 17, Issue 5-6, 2011, Pages 409-425

  Graham, Michael ^a   Nikkinen, Jussi ^b  

^a RMIT UNIVERSITY   (Australia)

^b UNIVERSITY OF VAASA   (Finland)

Author keywords

Co movement; Finland; International stock markets; Wavelets

Indexed keywords

EID: 79957887501     PISSN: 1351847X     EISSN: 14664364     Source Type: Journal    
DOI: 10.1080/1351847X.2010.543839     Document Type: Article

References (50)

1. Aggarwal, R., C. Inclan, and R. Leal. 1999. Volatility in emerging stock markets. Journal of Financial and Quantitative Analysis 34, no. 1: 33-55.
2. Agmon, T. 1972. The relations among equity markets: A study of share price co-movements in the United States, United Kingdom, Germany and Japan. Journal of Finance 27, no. 4: 839-55.
3. A'Hearn, B., and U. Woitek. 2001. More international evidence on the historical properties of business cycles. Journal of Monetary Economics 47, no. 2: 321-46.
4. Antel, J., and M. Vaihekoski. 2007. International asset pricing models and currency risk: Evidence from Finland 1970-2004. Journal of Banking and Finance 31, no. 9: 2571-90.
5. Ayuso, J., and R. Blanco. 2001. Has financial market integration increased during the nineties? Journal of International Financial Markets, Institutions and Money 11, nos. 3-4: 265-87.
6. Baca, S., B. Garbe, and R. Weiss. 2000. The rise of sector effects in major equity markets. Financial Analysts Journal 56, no. 5: 34-40.
7. Bekaert, G., and C.R. Harvey. 1995. Time-varying world market integration. Journal of Finance 50, no. 2: 403-44.
8. Booth, G.G., J.-P. Kallunki, J.-C. Lin, and T. Martikainen. 2000. Internalization and stock price clustering: Finnish evidence. Journal of International Money and Finance 19, no. 5: 737-51.
9. Booth, G.G., T. Martikainen, and Y. Tse. 1997. Price and volatility spillovers in candinavian stock markets. Journal of Banking and Finance 21, no. 6: 811-23.
10. Booth, G.G., T. Martikainen, I. Virtanen, and P. Yli-Olli. 1993. On the existence of common factors in the Arbitrage Pricing Model: International evidence from US and Scandinavian stock markets. Applied Financial Economics 3, no. 3: 189-200.
11. Bos, T., T.A. Fetherston, T. Martikainen, and J. Perttunen. 1995. The international comovements of Finnish stocks. The European Journal of Finance 1, no. 1: 95-111.
12. Brooks, R., and M. Del Negro. 2004. The rise in comovement across national stock markets: Market integration or IT bubble? Journal of Empirical Finance 11, no. 5: 659-80.
13. Brooks, R., and M. Del Negro. 2005. Country versus region effects in international stock returns. Journal of Portfolio Management 31, no. 4: 67-72.
14. Brooks, R., and M. Del Negro. 2006. Firm-level evidence on international stock market comovement. Review of Finance 10, no. 1: 69-98.
15. Candelon, B., J. Piplack, and S. Straetmans. 2008. On measuring synchronization of bulls and bears: The case of East Asia. Journal of Banking and Finance 32, no. 6: 1022-35.
16. Cavaglia, S., C. Brightman, and M. Aked. 2000. The increasing importance of industry factors. Financial Analysts Journal, 56, no. 5: 41-54.
17. Federation of European Securities Exchanges (FESE). 2008. European Exchange Report. http://www.fese.eu/_lib/files/EUROPEAN_EXCHANGE_REPORT_2008_final_update d.pdf (Accessed November 8, 2009).
18. Fernandez, V. 2005. The international CAPM and a wavelet-based decomposition of value at risk. Studies in Nonlinear Dynamics & Econometrics 9, no. 4: 1-35.
19. Fernandez, V. 2006. The CAPM and value at risk at different time-scales. International Review of Financial Analysis 15, no. 3: 203-19.
20. Forbes, K., and R. Rigobon. 2002. No contagion, only interdependence: Measuring stock market comovements. Journal of Finance 57, no. 5: 2223-61.
21. Grauer, R.R., and N.H. Hakansson. 1987. Gains from international diversification: 1968-85 returns on portfolios of stocks and bonds. Journal of Finance 42, no. 3: 721-39.
22. Grubel, H.G. 1968. Internationally diversified portfolios: Welfare gains and capital flows, American Economic Review, 58, no. 5: 1299-1314.
23. Hietala, P. 1989. Asset pricing in partially segmented markets: Evidence from the Finnish market. Journal of Finance 44, no. 3: 697-718.
24. Hilliard, J.E. 1979. The relationship between equity indices on world exchanges. Journal of Finance 34, no. 1: 103-14.
25. Inclan, C., and G.C. Tiao. 1994. Use of cumulative sums of squares for retrospective detection of changes of variance. Journal of American Statistical Association 89, no. 427: 913-23.
26. Karolyi, G.A., and R.M. Stulz. 1996. Why do markets move together? An investigation of U.S.-Japan stock return comovements. Journal of Finance 51, no. 3: 951-86.
27. Karuppiah, J., and C.A. Los. 2005. Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997. International Review of Financial Analysis 14, no. 2: 211-46.
28. King, M., E. Sentana, and W. Sushil. 1994. Volatility and links between national stock markets. Econometrica 62, no. 4: 901-33.
29. King, M., and S. Wadhwani. 1990. Transmission of volatility between stock markets. Review of Financial Studies 3, no. 1: 5-33.
30. Kizys, R., and C. Pierdzioch. 2009. Changes in the international comovement of stock returns and asymmetric macroeconomic shocks. Journal of International Financial Markets, Institutions and Money 19, no. 2: 289-305.
31. Levy, H., and M. Sarnat. 1970. International diversification of investment portfolios. American Economic Review 60, no. 4: 668-75.
32. Lin, W.-L., R. Engle, and T. Ito. 1994. Do bulls and bears move across borders? International transmission of stock returns and volatility. Review of Financial Studies 7, no. 3: 507-38.
33. Longin, F., and B. Solnik. 1995. Is the correlation in international equity returns constant: 1960-1990? Journal of International Money and Finance 14, no. 1: 3-26.
34. Longin, F. and B. Solnik. 2001. Extreme correlation of international equity markets. Journal of Finance 56, no. 2: 649-76.
35. Markowitz, H. M. 1952. Portfolio Selection. Journal of Finance 7, no. 1: 77-91.
36. Martikainen, T., I. Virtanen, and P. Yli-Olli. 1993. Integration of the Finnish stock market into the Swedish and U.S. Stock markets. Economic Systems Research 5, no. 4: 409-17.
37. Mathur, I., andV. Subrahmanyam. 1990. Interdependencies among the Nordic and U.S. Stock Markets. The Scandinavian Journal of Economics 92, no. 4: 587-97.
38. Nikkinen, J., S. Pynnönen, M. Ranta, and S. Vähämaa. Forthcoming. Cross-dynamics of exchange rate expectations: A wavelet analysis. International Journal of Finance & Economics. DOI: 10.1002/ijfe.423
39. Nikkinen, J., and P. Sahlström. 2004. International transmission of uncertainty implicit in stock index option prices. Global Finance Journal 15, no. 1: 1-15.
40. Nikkinen, J., P. Sahlström, and S.Vahamaa. 2006. Implied volatility linkages among major European currencies. Journal of International Financial Markets, Institutions & Money 16, no. 2: 87-103.
41. Nummelin, K., and M. Vaihekoski. 2002.World capital markets and Finnish stock returns. European Journal of Finance 8, no. 3: 322-43.
42. Pakko, M. 2004. A spectral analysis of the cross-country consumption correlation puzzle. Economics Letters 84, no. 3: 341-7.
43. Pretorius, E. 2002. Economic determinants of emerging stock market interdependence. Emerging Markets Review 3, no. 1: 84-105.
44. Ramsey, J., and C. Lampart. 1998a. Decomposition of economic relationships by time scale using wavelets. Macroeconomic Dynamics 2, no. 1: 49-71.
45. Ramsey, J., and C. Lampart. 1998b. The decomposition of economic relationships by time scale using wavelets: Expenditure and income. Studies in Nonlinear Dynamics and Econometrics 3, no. 1: 23-42.
46. Ranta, M. 2008. Correlation structure of security markets: A wavelet approach. Paper presented at the International Conference on Applied Business & Economics (ICABE), October 2-4, Thessaloniki, Greece.
47. Ranta, M. 2009. Contagion among major world markets: A wavelet approach. Paper presented at the 21st Annual Conference of Northern Finance Association, September 25-27, Niagara-on-the-Lake, Ontario, Canada.
48. Rua, A., and L.C. Nunes. 2009. International comovement of stock returns: A wavelet analysis. Journal of Empirical Finance 16, no. 4: 632-9.
49. Torrence, C., and G. Compo. 1998. A practical guide to wavelet analysis. Bulletin of American Meteorological Society 79, no. 1: 61-78.
50. Torrence, C., and P.J. Webster. 1999. Interdecadal changes in the ENSO-monsoon system. Journal of Climate 12, no. 8: 2679-90.