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Frequency aspects of information transmission in a network of three western equity markets

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  • Schmidbauer, Harald
  • Rösch, Angi
  • Uluceviz, Erhan

Abstract

Cycles in the behavior of stock markets have been widely documented. There is an increasing body of literature on whether stock markets anticipate business cycles or its turning points. Several recent studies assert that financial integration impacts positively on business cycle comovements of economies.

Suggested Citation

  • Schmidbauer, Harald & Rösch, Angi & Uluceviz, Erhan, 2017. "Frequency aspects of information transmission in a network of three western equity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 933-946.
    • Handle: RePEc:eee:phsmap:v:486:y:2017:i:c:p:933-946
    DOI: 10.1016/j.physa.2017.05.082
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    References listed on IDEAS

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    Cited by:

    1. Erhan Uluceviz & Kamil Yilmaz, 2020. "Real-financial connectedness in the Swiss economy," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 156(1), pages 1-20, December.
    2. Bales, Stephan, 2022. "Policy uncertainty and the sovereign-bank nexus: A time-frequency analysis using wavelet transformation," Finance Research Letters, Elsevier, vol. 44(C).
    3. Bales, Stephan & Burghof, Hans-Peter, 2024. "Public attention, sentiment and the default of Silicon Valley Bank," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
    4. Sudipta Das, 2021. "The Time–Frequency Relationship between Oil Price, Stock Returns and Exchange Rate," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(2), pages 129-149, November.

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    More about this item

    Keywords

    Equity market network; Propagation value; Cycle; Synchronization; Wavelet analysis; Phase difference;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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