The process of transferring negative impulses in capital markets – a wavelet analysis. (English) Zbl 07522697

Burzala, Milda Maria

J. Appl. Stat. 49, No. 6, 1574-1597 (2022).

Summary: The empirical research that is presented herein deals with the process of transferring negative impulses in capital markets during the subprime crisis (contagion, comovements, crisis transmission and shocks). A significant and positive contribution of the research conducted is the demonstration of how the wavelet analysis can be used in examining the various responses of the financial markets. The first stage of the research involved an analysis of the response of seven European markets (CAC40, DAX, FTSE100, IBEX, ATHEX, BUX and WIG20 indexes) to the proceedings in the US market, exemplified by the Dow Jones Industrial Average Index. The second stage involved examining the relationships of strong European markets (CAC40, DAX, FTSE100), and then the impact that the strongest German market DAX had on four other and weaker European markets – two from Western Europe (IBEX, ATHEX) and two from Central-Eastern Europe (BUX and WIG20). This article presents a methodological approach to transfer impulses on capital markets.

MSC:

62-XX

Statistics

Keywords:

contagion; comovements; crisis transmission; financial shocks; wavelet analysis

Software:

biwavelet; wmtsa

References:

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