Economics at your fingertips  

Wavelets based multiscale analysis of select global equity returns

Avishek Bhandari
Additional contact information
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
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link) (application/pdf) (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Theoretical and Applied Economics is currently edited by Marin Dinu

More articles in Theoretical and Applied Economics from Asociatia Generala a Economistilor din Romania - AGER Contact information at EDIRC.
Series data maintained by Marin Dinu ().

Page updated 2017-12-30
Handle: RePEc:agr:journl:v:4(613):y:2017:i:4(613):p:75-88