Time-scale comovement between the Indian and world stock markets

Rahul Deora and Duc Khuong Nguyen

No 2014-242, Working Papers from Department of Research, Ipag Business School

Abstract: We propose a wavelet-based dynamic conditional correlation – GARCH approach to investigate the time-scale comovement between the Indian and world stock markets. Our empirical analysis reveals the existence of time- scale-dependent comovement between Ind

Keywords: comovement; Indian stock markets; DCC-GARCH; wavelet analysis (search for similar items in EconPapers)
JEL-codes: C5 E3 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2014-01-01
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Citations: View citations in EconPapers (6)

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