Time-scale comovement between the Indian and world stock markets
AbstractWe 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 Indian and world stock markets. The results can thus be used by heterogene- ous groups of foreign and Indian investors who trade in different time horizons to actively manage and hedge against the risk of their portfolios.
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Bibliographic InfoPaper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-242.
Length: 11 pages
Date of creation: 28 Apr 2014
Date of revision:
comovement; Indian stock markets; DCC-GARCH; wavelet analysis;
Find related papers by JEL classification:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-05-04 (All new papers)
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