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

页码：699 / 714

页数：16

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