The Co‐Movement Dynamics of European Frontier Stock Markets

22 Pages Posted: 18 Jun 2014

See all articles by Jarno Kiviaho

Jarno Kiviaho

University of Vaasa

Jussi Nikkinen

University of Vaasa - Department of Accounting and Finance

Vanja Piljak

University of Vaasa - Department of Accounting and Finance

Timo Rothovius

University of Vaasa - Department of Accounting and Finance

Date Written: June 2014

Abstract

We examine, through application of wavelet coherency, the co‐movement of European frontier stock markets with the USA and developed markets in Europe. We find that the strength of co‐movement varies considerably across the frontier markets, at different frequencies (time horizons), and over time. Co‐movement is relatively weaker for the frontier markets of Central and Southeastern Europe than in the Baltic region. Of the markets examined, Slovakia in particular shows low dependence, whereas Lithuania seems to be the most dependent market. Co‐movement is stronger at lower frequencies (longer horizons) and increases during the turbulent period of the global financial crisis of 2008/2009. We identify several macroeconomic factors related to variations in co‐movement at different time frequencies.

Keywords: frontier market, co‐movement of stock returns, wavelets

Suggested Citation

Kiviaho, Jarno and Nikkinen, Jussi and Piljak, Vanja and Rothovius, Timo, The Co‐Movement Dynamics of European Frontier Stock Markets (June 2014). European Financial Management, Vol. 20, Issue 3, pp. 574-595, 2014. Available at SSRN: https://ssrn.com/abstract=2456039 or http://dx.doi.org/10.1111/j.1468-036X.2012.00646.x

Jarno Kiviaho (Contact Author)

University of Vaasa

Jussi Nikkinen

University of Vaasa - Department of Accounting and Finance ( email )

P.O. Box 700
FIN-65101 Vaasa, FI-65101
Finland
+358 6 3248541 (Phone)

Vanja Piljak

University of Vaasa - Department of Accounting and Finance ( email )

P.O. Box 700
FIN-65101 Vaasa, FI-65101
Finland

Timo Rothovius

University of Vaasa - Department of Accounting and Finance ( email )

P.O. Box 700
FIN-65101 Vaasa, FI-65101
Finland

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