CONTAGION AMONG SELECT GLOBAL EQUITY MARKETS: A TIME-FREQUENCY ANALYSIS

Avishek Bhandari () and Bandi Kamaiah
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Avishek Bhandari: Institute of management technology, Hyderabad India
Bandi Kamaiah: University of Hyderabad, Hyderabad, India

Global Economy Journal (GEJ), 2019, vol. 19, issue 04, 1-29

Abstract: This paper investigates the phenomenon of contagion among some selected global equity markets using novel methods from wavelet-based time-frequency analysis. It surveys some seminal literature on contagion and examines, using both continuous and discrete wavelet methods, the effects of major financial crises on Indian markets. Strong evidence of co-movements in the short run, which indicates contagion, between Indian and some East Asian markets is observed, signifying diversification risks for Indian investors during periods of financial turbulence.

Keywords: Contagion; wavelets; time-frequency analysis; co-movement (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1142/S2194565919500234

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