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Tekijä:Graham, M.
Nikkinen, J.
Otsikko:Co-movement of the Finnish and international stock markets: a wavelet analysis
Lehti:European Journal of Finance
2011 : MAY-JUL, VOL 17:5-6 p. 409-425
Asiasana:Finland
Nordic countries
stock markets
Europe
portfolio investment
risk management
Vapaa asiasana:wavelets
co-movement
Kieli:eng
Tiivistelmä:In this article a wavelet analysis is used to examine the short-term and long-term co-movement of international stock markets from a European perspective. The results show that the co-movement of Finland and emerging market regions is confined to long-term fluctuations. There is also found evidence of co-movement between Finland and the developed regions in Europe, the Pasific, 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 portfolio, whereas diversifying into the Finnish market would be advantageous.
SCIMA tietueen numero: 272803
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