A Wavelet - based Discussion on the Greek Stock Market Integration During the Last Decade

The current paper investigates how has been evolving the integration of the Greek stock market to the major world stock exchanges for a period spanning from the early 2000s till the middle of 2013. The idea of wavelet coherency is adopted in the analysis in order to identify linkages and co-movement...

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Bibliographic Details
Published in:Journal of engineering science and technology review 2015-09, Vol.8 (1), p.8-11
Main Author: Bogdanova, Boryana
Format: Article
Language:English
Subjects:
continuous wavelet transform
financial contagion
stock markets co-movement
wavelet coherency
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Summary:The current paper investigates how has been evolving the integration of the Greek stock market to the major world stock exchanges for a period spanning from the early 2000s till the middle of 2013. The idea of wavelet coherency is adopted in the analysis in order to identify linkages and co-movement patterns that are otherwise not that obvious. It is further investigated if the detected relationships are of short or of long-run character. Also particular attention is paid to the co-movement patterns during the period of the 2007-2009 financial crisis as well as during the period of the Eurozone debt crisis. In addition, conclusions on presence of contagion and transmission of crises are drawn.
ISSN:1791-9320
1791-2377
1791-2377
DOI:10.25103/jestr.081.02