Figure 1.
Daily prices on basis 100 of S&P500, FTSE100, Ibovespa and HSI from January 2005 to November 2012.
Vertical lines represent the subdivision into non-crisis, Sub-prime crisis and Eurozone crisis.
Figure 2.
Daily log-returns of S&P500, FTSE100, Ibovespa and HSI from January 2005 to November 2012.
Vertical lines represent the subdivision into non-crisis, Sub-prime crisis and Eurozone crisis.
Figure 3.
Daily volumes on basis 100 of S&P500, FTSE100, Ibovespa and HSI from January 2005 to November 2012.
Vertical lines represent the subdivision into non-crisis, Sub-prime crisis and Eurozone crisis.
Figure 4.
Daily illiquiditiess of S&P500, FTSE100, Ibovespa and HSI from January 2005 to November 2012.
Vertical lines represent the subdivision into non-crisis, Sub-prime crisis and Eurozone crisis.
Figure 5.
Daily wavelet coefficients of S&P500 during sub-prime crisis period.
Series n refers to Wavelet level n or 2n-1 trading days.
Figure 6.
Correlation for S&P500, FTSE100, Ibovespa and HSI wavelet coefficients relationships in non-crisis (middle gray), Sub-prime crisis (weak gray) and Eurozone crisis (strong gray).
Table 1.
Correlations for S&P500, FTSE100, Ibovespa and HSI wavelet coefficients relationships in non-crisis, Sub-prime crisis and Eurozone crisis.
Table 2.
Most significant correlation differences for the relationships between S&P500, FTSE100, Ibovespa and HSI wavelet coefficients in non-crisis (NC), Sub-prime crisis (SP) and Eurozone crisis (EU).