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Time-scale comovement between the Indian and world stock markets

  • Rahul Deora
  • Duc Khuong Nguyen

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 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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Paper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-242.

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Length: 11 pages
Date of creation: 28 Apr 2014
Date of revision:
Handle: RePEc:ipg:wpaper:2014-242
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