The Co‐movement Dynamics of European Frontier Stock Markets
使用小波相干性方法，研究了欧洲前沿股票市场与美国及欧洲发达市场的联动性，发现联动强度因市场、时间频率和时期而异，且在2008/2009年全球金融危机期间增强。
Abstract We examine, through application of wavelet coherency, the co‐movement of European frontier stock markets with the USA and developed markets in Europe. We find that the strength of co‐movement varies considerably across the frontier markets, at different frequencies (time horizons), and over time. Co‐movement is relatively weaker for the frontier markets of Central and Southeastern Europe than in the Baltic region. Of the markets examined, Slovakia in particular shows low dependence, whereas Lithuania seems to be the most dependent market. Co‐movement is stronger at lower frequencies (longer horizons) and increases during the turbulent period of the global financial crisis of 2008/2009. We identify several macroeconomic factors related to variations in co‐movement at different time frequencies .