Wavelet Analysis of the Bombay Stock Exchange Index

被引：0
|
作者：
Biswal P.C. [1 ]
Kamaiah B. [2 ]
Panigrahi P.K. [3 ]
机构：
[1] Institute for Studies in Industrial Development, I. P. Estate, New Delhi
[2] Department of Economics, University of Hyderabad, Hyderabad
[3] Physical Research Laboratory, Navarangapura, 380 009, Ahmedabad
来源：
Journal of Quantitative Economics | 2004年 / 2卷 / 1期
关键词：
D O I：
10.1007/BF03404598
中图分类号：
学科分类号：
摘要：
The fluctuations in the rate of returns of the Bombay stock exchange are analyzed through wavelet transform. The fluctuations, in various time scales, naturally separated by the wavelets, are subjected to statistical analysis. The localization and multiresolution properties of the wavelets enable one to identify collective behaviour in the stock market and the extent of their influence at various time scales. The Gaussian nature of the rate of returns at certain scales and the periodic nature of the same, at other scales, are clearly brought out by this analysis. The utility of this approach for modeling purpose is also elucidated. © 2004, The Indian Econometric Society.
引用
收藏
页码：133 / 146
页数：13
相关论文
共 50 条
  • [1] Scaling in the Bombay stock exchange index
    Razdan, A
    [J]. PRAMANA-JOURNAL OF PHYSICS, 2002, 58 (03): : 537 - 544
  • [2] Scaling in the bombay stock exchange index
    Ashok Razdan
    [J]. Pramana, 2002, 58 : 537 - 544
  • [3] Artificial Neural Network Models for Forecasting Stock Price Index in the Bombay Stock Exchange
    Dutta, Goutam
    Jha, Pankaj
    Laha, Arnab Kumar
    Mohan, Neeraj
    [J]. JOURNAL OF EMERGING MARKET FINANCE, 2006, 5 (03) : 283 - 295
  • [4] The Comparison Research of Exchange Rate and Stock Index in China and Japan - Based on Wavelet Analysis
    Huang, Shan
    Wang, Xiangning
    Li, Min
    [J]. ADVANCES IN BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING, 2008, 5 : 240 - 245
  • [5] Market microstructure: a comparative study of Bombay stock exchange and national stock exchange
    Goel, Anshi
    Tripathi, Vanita
    Agarwal, Megha
    [J]. JOURNAL OF ADVANCES IN MANAGEMENT RESEARCH, 2021, 18 (03) : 414 - 442
  • [6] The Bombay Stock Exchange SENSEX and foreign institutional investment in India: analysis
    Misra, Pooja
    Yadav, Ankit
    Parhi, Arpit Kumar
    [J]. INTERNATIONAL JOURNAL OF SERVICES TECHNOLOGY AND MANAGEMENT, 2020, 26 (05) : 373 - 387
  • [7] Investors overconfidence behaviour at Bombay Stock Exchange
    Mushinada, Venkata Narasimha Chary
    Veluri, Venkata Subrahmanya Sarma
    [J]. INTERNATIONAL JOURNAL OF MANAGERIAL FINANCE, 2018, 14 (05) : 613 - 632
  • [8] Analysis of the Linkage between China's Exchange Rate and Stock Price Index - Based on Wavelet Analysis
    Hsueh, Hsin-Pei
    Li, Fangjhy
    Wu, Cheng-Feng
    [J]. ICSET 2019: 2019 THE 3RD INTERNATIONAL CONFERENCE ON E-SOCIETY, E-EDUCATION AND E-TECHNOLOGY (ICSET 2019), 2019, : 70 - 73
  • [9] Network Analysis of Shanghai Stock Exchange Composite Index and Shenzhen Stock Exchange Component Index
    Tang, Qiang
    Liu, Jie
    [J]. EIGHTH WUHAN INTERNATIONAL CONFERENCE ON E-BUSINESS, VOLS I-III, 2009, : 883 - 887
  • [10] Applicability of Contrarian Strategy in the Bombay Stock Exchange
    Locke, Stuart
    Gupta, Kartick
    [J]. JOURNAL OF EMERGING MARKET FINANCE, 2009, 8 (02) : 165 - 189
12345