Wavelet Analysis of Price and Volatility Spillovers in Stock Markets: The case of India and the USA

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. TAPMI, Manipal.

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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:	TAPMI Working Papers
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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