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Abstract
The aim of the paper is to analyse the lead and lag structures of two closely related small stock markets: the finnish and the Swedish. The approach taken is univariate spectral analysis and cross-spectral analysis. Hence the purpose is to study the differences in the spectral charasteristics between the two markets and to capture the lead and lag structures between the markets as well as the changes in the spectral charasteristics of the two markets. The more volatile Swedish maket exhibits a two-day periodicity and autoregressive dependence of about two weeks. The cross-spectrum of the return series shows a Swedish lead about 10 days, which decreases to 5 days for the latter part of the observation series. The nonlinearity of the phase, however, indicates a compound effect of several leading terms.