Integration of 22 emerging stock markets : A three-dimensional analysis

@inproceedings{Graham2015IntegrationO2,
  title={Integration of 22 emerging stock markets : A three-dimensional analysis},
  author={Michael K. Graham and Jarno Kiviaho and J. Nikkinen},
  year={2015}
}
Article history: Received 10 December 2010 Accepted 6 May 2011 Available online 24 January 2012 We apply the three-dimensional analysis of wavelet coherency to examine the integration of 22 emerging stock markets with the U.S. market. We find a high degree of co-movement at relatively lower frequencies between the U.S. and the 22 individual emerging markets. Our results show that the strength of co-movement, however, differs by country. For example, we report a high degree of comovement between… CONTINUE READING

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