Wavelet Analysis of Price and Volatility Spillovers in Stock Markets: The Case of India and the US

Pratap Chandra Biswal () and Prabir Kumar Mohanty ()
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Pratap Chandra Biswal: T. A. Pai Management Institute
Prabir Kumar Mohanty: International Management Institute (IMI)

Journal of Quantitative Economics, 2006, vol. 4, issue 2, No 2, 13 pages

Abstract: Abstract This study uses wavelet analysis to examine the price and volatility spillovers between the U.S. and Indian stock markets. The empirical results suggest that there is price spillover effect from the U.S. market to its Indian counterpart during the period September 1998 — August 2003. However, the volatility spillovers, between these two stock markets, do not have any empirical support.

Keywords: Spillover effect; Wavelets; Scaling; Decomposition; Transmission (search for similar items in EconPapers)
JEL-codes: C3 G14 (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1007/BF03546444

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