Using novel, nonparametric comovement measures based on the Thick Pen Transform, we study the OMXH25 stocks in the post-financial-crisis decade. The new measures allow us to work with stationary returns and with nonstationary volumes. The comovement can be monitored in time, it is possible to distinguish between comovement on different time scales, and even cross-term comovement can be quantified. The approach is visually-interpretable and multivariate in nature. The results indicate the presence of a cyclical pattern in the relatively strong comovement of returns on semi-annual and annual time scales, with more oscillations in the comovement on quarterly and monthly time scales, and the presence of a slight increasing pattern in the relatively weak comovement of volumes on semi-annual and annual time scales. Cross-term dependence between Nokia’s weekly and monthly features in returns and longer-term features in returns of other stocks is more variable than that based on volumes.
|Referentgranskad vetenskaplig tidskrift||Nordic Journal of Business|
|Status||Publicerad - 16.12.2019|
|MoE-publikationstyp||A1 Originalartikel i en vetenskaplig tidskrift|
- 512 Företagsekonomi