CO-MOVEMENT OF FIVE ROMANIAN FINANCIAL FUNDS: A WAVELET COHERENCE ANALYSIS
CO-MOVEMENT OF FIVE ROMANIAN FINANCIAL FUNDS: A WAVELET COHERENCE ANALYSIS

Summary/Abstract: Economic time series analysis is usually done either in the time or in the frequency domain, separately. Instead, wavelet analysis has the advantage of combining these two fundamental approaches, allowing the study of time series in the time-frequency domain. In this paper, we focus on a model-free way of estimating time-varying correlations, based on using wavelet coherence. In addition, we also use wavelet coherence phase differences showing the delays in the oscillation (cycles) between pairs of time series. This methodological framework is applied to study the comovement of five Romanian financial funds, namely SIF1, SIF2, SIF3, SIF4 and SIF5, all of them traded on Bucharest Stock Exchange.

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