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).

Middle panel: pairs of wavelet levels with statistically different values for their correlation coefficients, by period and pair of financial markets. Right panel: wavelet level where the difference of two correlation coefficients is the largest, by pair of periods and pair of financial markets. *Wavelet level n corresponding to 2n-1 trading days.