Long Memory and Fractality Among Global Equity Markets: a Multivariate Wavelet Approach

Avishek Bhandari () and Bandi Kamaiah ()
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Avishek Bhandari: Institute of Management Technology
Bandi Kamaiah: University of Hyderabad

Journal of Quantitative Economics, 2021, vol. 19, issue 1, No 2, 23-37

Abstract: Abstract This paper seeks to understand the long memory behaviour of global equity returns using novel methods from wavelet analysis. We implement the wavelet based multivariate long memory approach, which possibly is the first application of wavelet based multivariate long memory technique in finance and economics. In doing so, long-run correlation structures among global equity returns are captured within the framework of wavelet-multivariate long memory methods, enabling one to analyze the long-run correlation among several markets exhibiting both similar and dissimilar fractal structures.

Keywords: Long memory; Fractal connectivity; Wavelets; Hurst exponent (search for similar items in EconPapers)
JEL-codes: C13 C14 C22 C32 G15 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s40953-020-00220-0

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