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Wavelets based multiscale analysis of select global equity returns

Author

Listed:
  • Avishek BHANDARI

    (Institute of Management Technology, Hyderabad, India)

Abstract
This paper examines the relationship between Indian equity prices other developed markets, in the time-scale domain, using wavelets based multiscale analysis and cross wavelet analysis. Stock markets are analyzed at different levels of resolution which makes it possible to perform a scale by scale analysis enabling us to detect the correlation and cross-correlation structures at time periods with high frequency oscillations and also the relatively low frequency structures. There seems to be a weak integration between BSE and other developed markets at almost all levels of time-scale resolution and a strong relationship between French and German Markets. Analyzing the stock returns at different multiscale resolution makes it easier for agents dealing with different trading horizons.

Suggested Citation

  • Avishek BHANDARI, 2017. "Wavelets based multiscale analysis of select global equity returns," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(4(613), W), pages 75-88, Winter.
    • Handle: RePEc:agr:journl:v:4(613):y:2017:i:4(613):p:75-88
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    References listed on IDEAS

    as
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    Cited by:

    1. Sithole, Rumbidzai Praise & Eita, Joel Hinaunye, 2020. "A test of integration between the South African and selected African stock markets," MPRA Paper 101301, University Library of Munich, Germany.

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