European equity markets integration and optimal investment horizons – evidence from wavelet analysis
DOI:
https://doi.org/10.12775/AUNC_ECON.2009.027Keywords
equity market integration, time-scale analysis, wavelet correlationsAbstract
In the paper we present results of our examination of the equity markets integration process inEuropefrom the wavelet perspective. The method applied is the discrete wavelet analysis in the form of the wavelet variance and wavelet correlation decomposition. In particular, we answer the questions about changes of the investment risk and the possibility of international portfolio diversification under different investment horizons. The study documents comovements in Central European equity markets, although these markets show some kind of segmentation. This enables investors to reduce the variability of their portfolio returns by the international portfolio diversification, especially for longer investment horizons.
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