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Wavelet analysis of the co-movement and lead–lag effect among multi-markets

  • Published:2018-12 Issue: Volume:512 Page:489-499
  • ISSN:0378-4371
  • Container-title:Physica A: Statistical Mechanics and its Applications
  • language:en
  • Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Sun Qi,Xu Weidong

Funder

Zhejiang Provincial Natural Science Foundation of China

National Natural Science Foundation of China

Humanity and Social Science foundation, China

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference33 articles.

1. D.G. Baur, What is co-movement? EUR Working Paper, (20759), 2003, Available from: http://ssrn.com/abstract=570585.

2. Do call prices and the underlying stock always move in the same direction?;Bakshi;Rev. Financ. Stud.,2000

3. International comovement of stock market returns: a wavelet analysis;Rua;J. Empir. Financ.,2009

4. Co-movements between us and uk stock prices: the role of time-varying conditional correlations;Aslanidis;Int. J. Financ. Econ.,2010

5. International stock market indices comovements: a new look;Madaleno;Int. J. Financ. Econ.,2012
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