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Time-scale comovement between the Indian and world stock markets

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  • Rahul Deora
  • Duc Khuong Nguyen

Abstract

We propose a wavelet-based dynamic conditional correlation – GARCH approach to investigate the time-scale comovement between the Indian and world stock markets. Our empirical analysis reveals the existence of time- scale-dependent comovement between Ind

Suggested Citation

  • Rahul Deora & Duc Khuong Nguyen, 2014. "Time-scale comovement between the Indian and world stock markets," Working Papers 2014-242, Department of Research, Ipag Business School.
    • Handle: RePEc:ipg:wpaper:2014-242
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    File URL: https://faculty-research.ipag.edu/wp-content/uploads/recherche/WP/IPAG_WP_2014_242.pdf
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    References listed on IDEAS

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    Cited by:

    1. repec:ipg:wpaper:2014-492 is not listed on IDEAS
    2. Kim Hiang Liow & Xiaoxia Zhou & Qiang Li & Yuting Huang, 2019. "Time–Scale Relationship between Securitized Real Estate and Local Stock Markets: Some Wavelet Evidence," JRFM, MDPI, vol. 12(1), pages 1-23, January.
    3. repec:ipg:wpaper:2014-574 is not listed on IDEAS
    4. repec:ipg:wpaper:2014-462 is not listed on IDEAS
    5. repec:ipg:wpaper:2014-458 is not listed on IDEAS
    6. repec:ipg:wpaper:2014-550 is not listed on IDEAS

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    More about this item

    Keywords

    comovement; Indian stock markets; DCC-GARCH; wavelet analysis;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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