Publication detail

Wavelet Analysis of Central European Stock Market Behaviour During the Crisis

Author(s): doc. PhDr. Jozef Baruník Ph.D.,
Mgr. Lukáš Vácha Ph.D.,
Type: IES Working Papers
Year: 2009
Number: 23
ISSN / ISBN:
Published in: IES Working Papers 23/2009
Publishing place: Prague
Keywords: wavelet analysis, multiresolution analysis, Central European stock markets, financial crisis
JEL codes: C14, C22, G15
Suggested Citation: Barunik, J., Vacha, L. (2009). “ Wavelet Analysis of Central European Stock Market Behaviour During the Crisis ” IES Working Paper 23/2009. IES FSV. Charles University.
Grants: 402/09/H045 - Nelineární dynamika v peněžní ekonomii a financích. Teorie a empirické modely GAUK 46108: New Nonlinear Capital Markets Theories: Fractal, Bifurcational and Behavioral Approach
Abstract: In the paper we test for the different reactions of stock markets to the current financial crisis. We focus on Central European stock markets, namely the Czech, Polish and Hungarian ones, and compare them to the German and U.S. benchmark stock markets. Using wavelet analysis, we decompose a time series into frequency components called scales and measure their energy contribution. The energy of a scale is proportional to its wavelet variance. The decompositions of the tested stock markets show changes in the energies on the scales during the current financial crisis. The results indicate that each of the tested stock markets reacted differently to the current financial crisis. More important, Central European stock markets seem to have strongly different behaviour during the crisis.
Downloadable: WP 2009_23_Barunik, Vacha

Partners

Deloitte

Sponsors

CRIF
McKinsey
Patria Finance