Time–frequency relationship between share prices and exchange rates in India: Evidence from continuous wavelets

Aviral Tiwari, Niyati Bhanja (), Arif Dar and Faridul Islam ()

Empirical Economics, 2015, vol. 48, issue 2, 699-714

Abstract: The paper examines the relationship between exchange rates and share prices using the wavelets approach, and more specifically the continuous wavelet power spectrum, cross-wavelet transform, and cross-wavelet coherency. Our results, based on Indian data, lend support to the traditional (Am Econ Rev 70:960–971, 1980 ) as well as the new portfolio hypothesis (Am Econ Rev 83:1356–1369, 1993 ), albeit over different time periods and across different time scales. The wavelet approach used in the paper has helped to uncover some interesting economic relationships within the time–frequency domain which have remained hidden thus far. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Cyclical and anti-cyclical effects; Cross-wavelet transform; Wavelet coherency; India; G15; C40; E32; F21; F31 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (22)

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DOI: 10.1007/s00181-014-0800-3

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