TITLE:
Risk-Return in the Stock Market: A Wavelet Approach
AUTHORS:
Rasheed Adegbola Bello
KEYWORDS:
Stock Prices, Equity Market, Risk, Return, Wavelet Analysis
JOURNAL NAME:
Journal of Mathematical Finance,
Vol.11 No.4,
November
24,
2021
ABSTRACT: The study utilized continuous wavelet to explore the co-movement of equities of four countries: France, Germany, the UK and the US. The daily data were extracted from January 2000 to May 2020 but converted to weekly data to limit the computational burden. The paper established co-movement among the four equity markets. However, the strength of the co-movement varies across time horizons. Similarly, higher co-movement was found in the long run than in the short run. Regional differences were also established, with the European equity markets exhibiting similar dynamics with their US counterpart.