haku: @journal_id 1334 / yhteensä: 350
viite: 19 / 350
| 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