Contagion and Dynamic Correlation of the Main European Stock Index Futures Markets: A Time-frequency Approach
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2015
- handle: 10670/1.mae1cq
- hal: hal-01376756
- doi: 10.1016/S2212-5671(15)00042-8
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info:eu-repo/semantics/altIdentifier/doi/10.1016/S2212-5671(15)00042-8
info:eu-repo/semantics/OpenAccess
Mots-clés
European financial markets integration Stock index futures Contagion Wavelets Portfolio diversificationSujets proches
Public markets Public debt Sovereign debt National debts Government debts Debts, Government Public debtsCiter ce document
Claudiu Tiberiu Albulescu et al., « Contagion and Dynamic Correlation of the Main European Stock Index Futures Markets: A Time-frequency Approach », HAL-SHS : économie et finance, ID : 10.1016/S2212-5671(15
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Résumé
In this paper, we examine the financial contagion and dynamic correlation between three European stock index futures, namely FTSE 100, DAX 30 and CAC 40. For this purpose we resort to a continuous wavelet transform framework and we cover the aftermath of the sovereign debt crisis period. More precisely, we analyze the power spectrum of the series, the wavelet coherency and the average dynamic correlation before and after turbulence episodes occurred after the outburst of the sovereign debt crisis. Our results show that the stock index futures are highly correlated and this correlation increases around financial distress episodes. The contagion phenomenon, associated with a high-frequency correlation, manifested especially after the additional rescue package awarded to Greece. All in all, the dynamic correlation is influenced by the frequency decomposition level and fluctuates considerably in the very long-run.