Integration of the Indian Stock Market
: at the angle of Time-Frequency |
Aasif Shah, Malabika Deo |
| Pondicherry University, Puducherry, India |
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Corresponding Author:
Aasif Shah ,Tel: +91 8903520012, Email: aasif127@gmail.com |
| Copyright ©2016 Journal of Economic Integration |
| ABSTRACT |
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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.
JEL Classification
F36: Financial Aspects of Economic Integration
G11: Portfolio Choice; Investment Decisions
G15: International Financial Markets |
| Keywords:
Asia Pacific | Wavelet Correlation | Wavelet Cross Correlation
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