ABSTRACT

The empirical research that is presented herein deals with the process of transferring negative impulses in capital markets during the subprime crisis (contagion, comovements, crisis transmission and shocks). A significant and positive contribution of the research conducted is the demonstration of how the wavelet analysis can be used in examining the various responses of the financial markets. The first stage of the research involved an analysis of the response of seven European markets (CAC40, DAX, FTSE100, IBEX, ATHEX, BUX and WIG20 indexes) to the proceedings in the US market, exemplified by the Dow Jones Industrial Average Index. The second stage involved examining the relationships of strong European markets (CAC40, DAX, FTSE100), and then the impact that the strongest German market DAX had on four other and weaker European markets – two from Western Europe (IBEX, ATHEX) and two from Central-Eastern Europe (BUX and WIG20). This article presents a methodological approach to transfer impulses on capital markets.

摘要

本文介绍的实证研究涉及次贷危机期间资本市场中负面冲动的转移过程（传染、联动、危机传递和冲击）。所进行的研究的一个重要和积极的贡献是证明了小波分析如何用于检查金融市场的各种反应。研究的第一阶段包括分析七个欧洲市场（CAC40、DAX、FTSE100、IBEX、ATHEX、BUX 和 WIG20 指数）对美国市场进程的反应，例如道琼斯工业平均指数。第二阶段涉及检查强大的欧洲市场（CAC40、DAX、FTSE100）之间的关系，然后是最强劲的德国市场 DAX 对其他四个和较弱的欧洲市场的影响——两个来自西欧（IBEX、ATHEX）和两个来自中东欧（BUX 和 WIG20）。本文介绍了一种在资本市场上转移冲动的方法。