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

被引：0
|
作者：
Aviral Kumar Tiwari
Niyati Bhanja
Arif Billah Dar
Faridul Islam
机构：
[1] ICFAI University Tripura,Research scholar and Faculty of Applied Economics, Faculty of Management
[2] University of Petroleum and Energy Studies,Department of Economics & IB
[3] Institute of Rural Management (IRMA),Department of Economics
[4] Morgan State University,undefined
来源：
Empirical Economics | 2015年 / 48卷
关键词：
Cyclical and anti-cyclical effects; Cross-wavelet transform; Wavelet coherency, India; G15; C40; E32; F21; F31;
D O I：
暂无
中图分类号：
学科分类号：
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：15
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