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European Equity Market Integration and Optimal Investment Horizons – Evidence from Wavelet Analysis

Author

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  • Joanna Bruzda

    (Nicolaus Copernicus University)

Abstract

In the paper the process of equity market integration in Europe is examined from the wavelet perspective. The method applied is the Continuous Discrete Wavelet Transform that enables to perform global and local wavelet variance and correlation decompositions. In particular, questions about changes of the investment risk and the possibility of international portfolio diversification under different investment horizons are addressed. The study documents both convergence of the Central and Eastern European equity markets as well as their segmentation on the European market. The latter enables reduction of portfolio returns variability by an international portfolio diversification, especially for long investment horizons.

Suggested Citation

  • Joanna Bruzda, 2010. "European Equity Market Integration and Optimal Investment Horizons – Evidence from Wavelet Analysis," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 10, pages 15-30.
    • Handle: RePEc:cpn:umkdem:v:10:y:2010:p:15-30
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    File URL: http://www.dem.umk.pl/dem/archiwa/v10/02_JBruzda.pdf
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    References listed on IDEAS

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