  This paper contributes to the literature on international stock market
comovements and contagion. The novelty of our approach lies in application of
wavelet tools to high-frequency financial market data, which allows us to
understand the relationship between stock markets in a time-frequency domain.
While major part of economic time series analysis is done in time or frequency
domain separately, wavelet analysis combines these two fundamental approaches.
Wavelet techniques uncover interesting dynamics of correlations between the
Central and Eastern European (CEE) stock markets and the German DAX at various
investment horizons. The results indicate that connection of the CEE markets to
the leading market of the region is significantly lower at higher frequencies
in comparison to the lower frequencies. Contrary to previous literature, we
document significantly lower contagion between the CEE markets and the German
DAX after the large 2008 stock market crash.
