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Theoretical and Applied Economics
No. 4 / 2017 (613), Winter

Wavelets based multiscale analysis of select global equity returns

Institute of Management Technology, Hyderabad, India

Abstract. This paper examines the relationship between Indian equity prices other developed markets, in the time-scale domain, using wavelets based multiscale analysis and cross wavelet analysis. Stock markets are analyzed at different levels of resolution which makes it possible to perform a scale by scale analysis enabling us to detect the correlation and cross-correlation structures at time periods with high frequency oscillations and also the relatively low frequency structures. There seems to be a weak integration between BSE and other developed markets at almost all levels of time-scale resolution and a strong relationship between French and German Markets. Analyzing the stock returns at different multiscale resolution makes it easier for agents dealing with different trading horizons.

Keywords: wavelets, wavelet cross-correlation, multiresolution analysis, Daubechies filter.

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The Economicity. The Epistemic Landscape, Marin Dinu, 2016


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