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The Time Dependence and Interconnectedness of Developed Stock Markets

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  • Bogdan Dima
  • Stefana Maria Dima
  • Anca-Adriana Saraolu (Ionascuti)

Abstract

This study examines the interconnectedness in developed stock markets by focusing on the time dependence of their multi-vocal relationships. Conceptually, we discuss the differences between financial contagion, interconnectedness and dominance in order to highlight the argument that stock markets are functionally connected. For capturing the shifts in markets’ correlation patterns over time, and their frequencies, we employ a methodology in the framework of Wavelet Local Multiple Correlation (WLMC). We have involved in the analysis three developed stock markets, on a long-time span from 2005-2024. Our findings suggest that the correlation pattern displays significant variations over time at different frequencies.

Suggested Citation

  • Bogdan Dima & Stefana Maria Dima & Anca-Adriana Saraolu (Ionascuti), 2024. "The Time Dependence and Interconnectedness of Developed Stock Markets," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 16(2), pages 273-293, December.
    • Handle: RePEc:rfb:journl:v:16:y:2024:i:2:p:273-293
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