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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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    References listed on IDEAS

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    5. Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard, 2006. "Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(4), pages 537-572.
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    7. Bekaert, Geert & Harvey, Campbell R, 1995. " Time-Varying World Market Integration," Journal of Finance, American Finance Association, vol. 50(2), pages 403-444, June.
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    9. Durai, S. Raja Sethu & Bhaduri, Saumitra N., 2009. "Stock prices, inflation and output: Evidence from wavelet analysis," Economic Modelling, Elsevier, vol. 26(5), pages 1089-1092, September.
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    More about this item

    Keywords

    comovement; Indian stock markets; DCC-GARCH; wavelet analysis;

    JEL classification:

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

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