Biswal, Pratap Chandra and Mohanty, Kumar Prabir (2005) Wavelet Analysis of Price and Volatility Spillovers in Stock Markets: The case of India and the USA. [["eprint_typename_tapmi_working_papers" not defined]]
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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. (JEL Code: C3, G14).
| Item Type: | ["eprint_typename_tapmi_working_papers" not defined] |
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| Uncontrolled Keywords: | Spillover effect, Wavelets, Scaling, Decomposition, Transmission |
| Subjects: | Finance |
| Divisions: | Finance and Strategy |
| Depositing User: | Ms. Vanitha K |
| Date Deposited: | 16 Nov 2018 09:28 |
| Last Modified: | 26 Nov 2018 10:06 |
| URI: | http://tapmi.informaticsglobal.com/id/eprint/341 |
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