Integration of the Indian Stock Market

• 영문명: Integration of the Indian Stock Market: at the angle of Time-Frequency
• 발행기관: 세종대학교 경제통합연구소
• 저자명: Aasif Shah Malabika Deo
• 간행물 정보: 『Journal of Economic Integration』제31권 제1호, 183~205쪽, 전체 23쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2016.03.31

영문 초록

This paper uses wavelet correlation and cross correlation techniques to examine the integration between Indian and Asia Pacific equity markets. In the sense that both time and frequency domains can be taken into consideration, wavelets have been emerged as a perfect trade-off. Our results show that the Indian market is correlated with Asia Pacific markets largely on lower frequencies or longer time horizons implying that diversification opportunities for investors are more likely to exist at higher frequencies or shorter time horizons. The cross correlation result also reveals lead-lag relationship on lower frequencies which suggests investment strategies for investors operating in Indian market facing sudden changes in Asia Pacific markets.

목차

Ⅰ. Introduction

Ⅱ. Wavelet Multi-Scale Decomposition

Ⅲ. Wavelet Correlation

Ⅳ. Wavelet Cross Covariance

Ⅴ. Discussion

Ⅵ. Conclusion

키워드

Asia Pacific Wavelet Correlation Wavelet Cross Correlation