Description

• Title:
  European Equity Market Integration and Optimal Investment Horizons – Evidence from Wavelet Analysis
• Creator:
  Bruzda, Joanna
• Description:
  In the paper the process of equity market integration in Europe is examined from  the wavelet perspective. The method applied is the Continuous Discrete Wavelet Transform that  enables to perform global and local wavelet variance and correlation decompositions. In particular,  questions about changes of the investment risk and the possibility of international portfolio  diversification under different investment horizons are addressed. The study documents both  convergence of the Central and Eastern European equity markets as well as their segmentation on  the European market. The latter enables reduction of portfolio returns variability by an international  portfolio diversification, especially for long investment horizons. 
• Object availability:
  free access
• Date:
  2010.07.16
• Type:
  info:eu-repo/semantics/article;
  info:eu-repo/semantics/publishedVersion
• Language:
  English
• Source:
  Dynamic Econometric Models; Vol. 10 (2010); 15-30;
  Dynamic Econometric Models; Tom 10 (2010); 15-30;
  2450-7067;
  1234-3862
• Format:
  application/pdf
• Publisher:
  Nicolaus Copernicus University
• Relation: https://apcz.umk.pl/DEM/article/view/DEM.2010.002/4026
• Identifier: https://apcz.umk.pl/DEM/article/view/DEM.2010.002
• Data provider:
  Akademicka Platforma Czasopism
• Can I use it?:
  seek permission
• Type:
  text