Difference in nature of correlation between NASDAQ and BSE indices

P. Manimaran, Prasanta K. Panigrahi and Jitendra C. Parikh

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 23, 5810-5817

Abstract: We apply a recently developed wavelet based approach to characterize the correlation and scaling properties of non-stationary financial time series. This approach is local in nature and it makes use of wavelets from the Daubechies family for detrending purpose. The built-in variable windows in wavelet transform makes this procedure well suited for the non-stationary data. We analyze daily price of NASDAQ composite index for a period of 20 years, and BSE sensex index, over a period of 15 years. It is found that the long-range correlation, as well as fractal behavior for both the stock index values differ from each other significantly. Strong non-statistical long-range correlation is observed in BSE index, whose removal revealed a Gaussian random noise character for the corresponding fluctuation. The NASDAQ index, on the other hand, showed a multifractal behavior with long-range statistical correlation.

Keywords: Time series; Fluctuations; Fractals; Discrete wavelets; Hurst exponent (search for similar items in EconPapers)
Date: 2008
References: View complete reference list from CitEc
Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:23:p:5810-5817

DOI: 10.1016/j.physa.2008.06.033

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