Co-movement of Finnish and International Stock Markets : A Wavelet Analysis

• We use wavelet analysis to examine the short-term and long-term co-movement of international stock markets from a European perspective. First, we assess the co-movement of the Finnish stock market with stock markets in both developed and emerging economies. Second, the co-movement of five major European markets and a global equity portfolio is analysed. Our results show that the co-movement of Finland and the emerging market regions is confined to long-term fluctuations. We also find evidence of co-movement between Finland and the developed regions in Europe, the Pacific, 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 stock portfolio, whereas diversifying into the Finnish market would be advantageous.

Ämnesord

SAMHÄLLSVETENSKAP  -- Ekonomi och näringsliv -- Företagsekonomi (hsv//swe)

SOCIAL SCIENCES  -- Economics and Business -- Business Administration (hsv//eng)

Nyckelord

co-movement

Finland

international stock markets

wavelets

Publikations- och innehållstyp

ref (ämneskategori)

art (ämneskategori)