Graham, Michael; Kiviaho, Jarno; Nikkinen, Jussi - In: Global Finance Journal 23 (2012) 1, pp. 34-47
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...
