Liquidity Spillover in International Stock Markets through Distinct Time Scales

This paper identifies liquidity spillovers through different time scales based on a wavelet multiscaling method. We decompose daily data from U.S., British, Brazilian and Hong Kong stock markets indices in order to calculate the scale correlation between their illiquidities. The sample is divided in...

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Detalles Bibliográficos
Autores principales: Righi, Marcelo Brutti, Vieira, Kelmara Mendes
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2014
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC3896460/
https://www.ncbi.nlm.nih.gov/pubmed/24465918
http://dx.doi.org/10.1371/journal.pone.0086134

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC3896460/
https://www.ncbi.nlm.nih.gov/pubmed/24465918
http://dx.doi.org/10.1371/journal.pone.0086134

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