Co-movement of Finnish and International Stock Markets: A Wavelet Analysis
2011 (English)In: European Journal of Finance, ISSN 1351-847X, E-ISSN 1466-4364, Vol. 17, no 5-6, 409-425 p.Article in journal (Refereed) Published
We use wavelet analysis to examine the short-term and long-term co-movement of international stock markets from a European perspective. First, we assess the co-movement of the Finnish stock market with stock markets in both developed and emerging economies. Second, the co-movement of five major European markets and a global equity portfolio is analysed. Our results show that the co-movement of Finland and the emerging market regions is confined to long-term fluctuations. We also find evidence of co-movement between Finland and the developed regions in Europe, the Pacific, and North America across all frequencies, with higher levels of co-movement in higher frequencies toward the end of the return series. Furthermore, the results suggest that little may be gained by diversifying from a country stock portfolio from the perspective of investors in France, Germany, Switzerland, and the UK into a global stock portfolio, whereas diversifying into the Finnish market would be advantageous.
Place, publisher, year, edition, pages
2011. Vol. 17, no 5-6, 409-425 p.
co-movement, Finland, international stock markets, wavelets
IdentifiersURN: urn:nbn:se:su:diva-63909DOI: 10.1080/1351847X.2010.543839OAI: oai:DiVA.org:su-63909DiVA: diva2:453436