Time-frequency relationship between share prices and exchange rates in India: Evidence from continuous wavelets

被引：35
|
作者：
Tiwari, Aviral Kumar [1 ,2 ]
Bhanja, Niyati [3 ]
Dar, Arif Billah [4 ]
Islam, Faridul [5 ]
机构：
[1] ICFAI Univ Tripura, Sadar 799210, West Tripura, India
[2] ICFAI Univ Tripura, Fac Appl Econ, Fac Management, Sadar 799210, West Tripura, India
[3] Univ Petr & Energy Studies, Dept Econ & IB, Dehra Dun 248007, Uttar Pradesh, India
[4] Inst Rural Management IRMA, Anand 388001, Gujarat, India
[5] Morgan State Univ, Dept Econ, Baltimore, MD 21239 USA
来源：
EMPIRICAL ECONOMICS | 2015年 / 48卷 / 02期
关键词：
Cyclical and anti-cyclical effects; Cross-wavelet transform; Wavelet coherency; India; SIGNIFICANCE TESTS; MARKETS; CYCLES;
D O I：
10.1007/s00181-014-0800-3
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The paper examines the relationship between exchange rates and share prices using the wavelets approach, and more specifically the continuous wavelet power spectrum, cross-wavelet transform, and cross-wavelet coherency. Our results, based on Indian data, lend support to the traditional (Am Econ Rev 70:960-971, 1980) as well as the new portfolio hypothesis (Am Econ Rev 83:1356-1369, 1993), albeit over different time periods and across different time scales. The wavelet approach used in the paper has helped to uncover some interesting economic relationships within the time-frequency domain which have remained hidden thus far.
引用
收藏
页码：699 / 714
页数：16
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