Contagion among Central and Eastern European stock markets during the financial crisis
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F13%3A00396416" target="_blank" >RIV/67985556:_____/13:00396416 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/13:10159095
Result on the web
—
DOI - Digital Object Identifier
—
Alternative languages
Result language
angličtina
Original language name
Contagion among Central and Eastern European stock markets during the financial crisis
Original language description
This paper contributes to the literature on international stock market comovements and contagion. The novelty of our approach lies in application of wavelet tools to high-frequency financial market data, which allows us to understand the relationship between stock markets in a time-frequency domain. While major part of economic time series analysis is done in time or frequency domain separately, wavelet analysis combines these two fundamental approaches. Wavelet techniques uncover interesting dynamics of correlations between the Central and Eastern European (CEE) stock markets and the German DAX at various investment horizons. The results indicate that connection of the CEE markets to the leading market of the region is significantly lower at higher frequencies in comparison to the lower frequencies. Contrary to previous literature, we document significantly lower contagion between the CEE markets and the German DAX after the large 2008 stock market crash.
Czech name
—
Czech description
—
Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
—
Result continuities
Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Finance a úvěr-Czech Journal of Economics and Finance
ISSN
0015-1920
e-ISSN
—
Volume of the periodical
63
Issue of the periodical within the volume
5
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
17
Pages from-to
443-453
UT code for WoS article
000326923700004
EID of the result in the Scopus database
—