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

E+M Ekonomie a Management, 2014-01, Vol.17 (1), p.104-120 [Peer Reviewed Journal]

COPYRIGHT 2014 Technical University of Liberec ;Copyright Technical University of Liberec 2014 ;ISSN: 1212-3609 ;ISSN: 0927-5398 ;ISSN: 1540-496X ;ISSN: 1834-5883 ;ISSN: 0018-9448 ;ISSN: 0022-1090 ;ISSN: 0307-4358 ;ISSN: 0378-4266 ;ISSN: 1544-6123 ;ISSN: 2582-8654 ;ISSN: 0165-1765 ;ISSN: 1076-9307 ;ISSN: 0895-5638 ;ISSN: 0972-9496 ;ISSN: 1469-7688 ;ISSN: 0953-5314 ;ISSN: 0735-0015 ;ISSN: 1466-4291 ;ISSN: 1573-7179 ;ISSN: 1053-587X ;ISSN: 0261-5606 ;ISSN: 0378-4371 ;ISSN: 0960-3107 ;ISSN: 0939-3625 ;ISSN: 0893-9454 ;ISSN: 0377-7332 ;ISSN: 0015-198X ;ISSN: 1042-4431 ;ISSN: 0162-1459 ;ISSN: 0006-8314 ;ISSN: 0006-3444 ;ISSN: 1566-0141 ;ISSN: 1099-1158 ;ISSN: 1582-6163 ;ISSN: 1675-7227 ;ISSN: 1198-8177 ;ISSN: 0219-0249 ;EISSN: 2336-5064 ;DOI: 10.15240/tul/001/2014-1-009

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  • Title:
    Wavelet analysis of stock return energy decomposition and return comovement - a case of some central European and developed European stock markets
  • Author: Dajcman, Silvo ; Kavkler, Alenka
  • Subjects: Analysis ; Austria ; Boundary conditions ; Capital market ; Case studies ; Cointegration analysis ; Commodities trading ; Czech Republic ; Decomposition ; Dow Jones averages ; Econometrics ; Energy industry ; Forecasts and trends ; France ; Germany ; Hungary ; Industrialized nations ; Investment analysis ; Investments ; Methods ; Rates of return ; Securities markets ; Slovenia ; Stochastic models ; Stock exchange ; Stock exchanges ; Stock management ; Stock markets ; Stock returns ; Stocks ; Studies ; Time series ; United Kingdom ; Volatility ; Waveform analysis ; Wavelet transforms
  • Is Part Of: E+M Ekonomie a Management, 2014-01, Vol.17 (1), p.104-120
  • Description: 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,
  • Publisher: Liberec: Technical University of Liberec
  • Language: English;Czech
  • Identifier: ISSN: 1212-3609
    ISSN: 0927-5398
    ISSN: 1540-496X
    ISSN: 1834-5883
    ISSN: 0018-9448
    ISSN: 0022-1090
    ISSN: 0307-4358
    ISSN: 0378-4266
    ISSN: 1544-6123
    ISSN: 2582-8654
    ISSN: 0165-1765
    ISSN: 1076-9307
    ISSN: 0895-5638
    ISSN: 0972-9496
    ISSN: 1469-7688
    ISSN: 0953-5314
    ISSN: 0735-0015
    ISSN: 1466-4291
    ISSN: 1573-7179
    ISSN: 1053-587X
    ISSN: 0261-5606
    ISSN: 0378-4371
    ISSN: 0960-3107
    ISSN: 0939-3625
    ISSN: 0893-9454
    ISSN: 0377-7332
    ISSN: 0015-198X
    ISSN: 1042-4431
    ISSN: 0162-1459
    ISSN: 0006-8314
    ISSN: 0006-3444
    ISSN: 1566-0141
    ISSN: 1099-1158
    ISSN: 1582-6163
    ISSN: 1675-7227
    ISSN: 1198-8177
    ISSN: 0219-0249
    EISSN: 2336-5064
    DOI: 10.15240/tul/001/2014-1-009
  • Source: Alma/SFX Local Collection
    ProQuest Central
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