The Co‐movement Dynamics of European Frontier Stock Markets. (27th June 2012)

• Record Type: Journal Article
• Authors: Kiviaho, Jarno; Nikkinen, Jussi; Piljak, Vanja; Rothovius, Timo
• Is Part Of: European financial management. Volume 20:Number 3(2014:Jun.)
• Page Start: 574
• Page End: 595
• Publication Date: 2012-06-27
• Subjects: Finance -- European Union countries -- Periodicals; International finance -- Periodicals; Corporations -- European Union countries -- Finance -- Periodicals; 332.094
• DOI: 10.1111/j.1468-036X.2012.00646.x
• Languages: English
• ISSNs: 1354-7798

Abstract

<abstract abstract-type="main" xml:lang="en"> <title>Abstract</title> <sec id="eufm646-sec-1001" sec-type="section"> <p> <italic>We examine, through application of wavelet coherency, the co‐movement of European frontier stock markets with the USA and developed markets in Europe. We find that the strength of co‐movement varies considerably across the frontier markets, at different frequencies (time horizons), and over time. Co‐movement is relatively weaker for the frontier markets of Central and Southeastern Europe than in the Baltic region. Of the markets examined, Slovakia in particular shows low dependence, whereas Lithuania seems to be the most dependent market. Co‐movement is stronger at lower frequencies (longer horizons) and increases during the turbulent period of the global financial crisis of 2008/2009. We identify several macroeconomic factors related to variations in co‐movement at different time frequencies</italic>.</p> </sec> </abstract>