About: Contagion among Central and Eastern European Stock Markets during the Financial Crisis

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An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://journal.fsv.cuni.cz/storage/1284_443-53---barunik.pdf
Description	This paper contributes to the literature on international stock market comovements and contagion. The novelty of our approach lies in the application of wavelet tools to high-frequency financial market data, which allows us to understand the relationship between stock markets in the time-frequency domain. While a major part of economic time series analysis is done in the time or frequency domain separately, wavelet analysis combines these two fundamental approaches. Wavelet techniques uncover interesting dynamics of the correlations between Central and Eastern European (CEE) stock markets and the German DAX at various investment horizons. The results indicate that the connection of the CEE markets to the leading market of the region is significantly lower at higher frequencies than at lower frequencies. Contrary to previous literature, we document significantly lower contagion between the CEE markets and the German DAX after the large 2008 stock market crash. This paper contributes to the literature on international stock market comovements and contagion. The novelty of our approach lies in the application of wavelet tools to high-frequency financial market data, which allows us to understand the relationship between stock markets in the time-frequency domain. While a major part of economic time series analysis is done in the time or frequency domain separately, wavelet analysis combines these two fundamental approaches. Wavelet techniques uncover interesting dynamics of the correlations between Central and Eastern European (CEE) stock markets and the German DAX at various investment horizons. The results indicate that the connection of the CEE markets to the leading market of the region is significantly lower at higher frequencies than at lower frequencies. Contrary to previous literature, we document significantly lower contagion between the CEE markets and the German DAX after the large 2008 stock market crash. (en)
Title	Contagion among Central and Eastern European Stock Markets during the Financial Crisis Contagion among Central and Eastern European Stock Markets during the Financial Crisis (en)
skos:prefLabel	Contagion among Central and Eastern European Stock Markets during the Financial Crisis Contagion among Central and Eastern European Stock Markets during the Financial Crisis (en)
skos:notation	RIV/00216208:11230/13:10159095!RIV14-GA0-11230___
http://linked.open...avai/predkladatel	Fakulta sociálních věd
http://linked.open...avai/riv/aktivita	I P
http://linked.open...avai/riv/aktivity	I, P(GBP402/12/G097)
http://linked.open...iv/cisloPeriodika	5
http://linked.open...vai/riv/dodaniDat	2014
http://linked.open...aciTvurceVysledku	Baruník, Jozef Vácha, Lukáš
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Karlova v Praze / Fakulta sociálních věd
http://linked.open...dnocenehoVysledku	66841
http://linked.open...ai/riv/idVysledku	RIV/00216208:11230/13:10159095
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	contagion; comovement; Central and Eastern European stock markets; financial crisis; wavelets (en)
http://linked.open.../riv/klicoveSlovo	Central and Eastern European stock markets comovement wavelets financial crisis contagion
http://linked.open...odStatuVydavatele	CZ - Česká republika
http://linked.open...ontrolniKodProRIV	[2783FB535061]
http://linked.open...i/riv/nazevZdroje	Finance a úvěr
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	DYME-Dynamic Models in Economics
http://linked.open...UplatneniVysledku	2013
http://linked.open...v/svazekPeriodika	63
http://linked.open...iv/tvurceVysledku	Baruník, Jozef Vácha, Lukáš
http://linked.open...ain/vavai/riv/wos	000326923700004
issn	0015-1920
number of pages	11 (xsd:int)
http://localhost/t...ganizacniJednotka	11230

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