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Wavelets based multiscale analysis of select global equity returns

Avishek Bhandari
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Avishek Bhandari: Institute of Management Technology, Hyderabad, India

Theoretical and Applied Economics, 2017, vol. XXIV, issue 4(613), Winter, 75-88

Abstract: This paper examines the relationship between Indian equity prices other developed markets, in the time-scale domain, using wavelets based multiscale analysis and cross wavelet analysis. Stock markets are analyzed at different levels of resolution which makes it possible to perform a scale by scale analysis enabling us to detect the correlation and cross-correlation structures at time periods with high frequency oscillations and also the relatively low frequency structures. There seems to be a weak integration between BSE and other developed markets at almost all levels of time-scale resolution and a strong relationship between French and German Markets. Analyzing the stock returns at different multiscale resolution makes it easier for agents dealing with different trading horizons.

Keywords: wavelets; wavelet cross-correlation; multiresolution analysis; Daubechies filter. (search for similar items in EconPapers)
Date: 2017
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