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| Author: | Pynnonen, S. Kniff, J. Luoma, M. |
| Title: | An analysis of lead-lag structures using a frequency domain approach: empirical evidence from the Finnish and Swedish stock markets |
| Journal: | European Journal of Operational Research
1995 : MAR 2, VOL. 81:2, p. 259-270 |
| Index terms: | FINANCE TIME SERIES DATA ANALYSIS |
| Language: | eng |
| Abstract: | The aim of the paper is to analyze the lead and lag structures of two closely related small stock markets: the Finnish and the Swedish. The approach taken is univariate spectral analysis and cross-spectral analysis. Hence the purpose is to study the differences in the spectral characteristics between the two main markets and to capture the lead and lag structure between the markets as well as the changes in the spectral characteristics of the market return series over time. |
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