Wavelet Analysis of Price and Volatility Spillovers in Stock Markets: The Case of India and the US

被引：0

作者：

Biswal P.C. ^{[1
]}

Mohanty P.K. ^{[2
]}

机构：

[1] T. A. Pai Management Institute, Manipal, 576 104, Karnataka

[2] International Management Institute (IMI), B-10, Qutab Institutional Area, New Delhi

来源：

Journal of Quantitative Economics | 2006年 / 4卷 / 2期

关键词：

Decomposition; Scaling; Spillover effect; Transmission; Wavelets;

D O I：

10.1007/BF03546444

中图分类号：

学科分类号：

摘要：

This study uses wavelet analysis to examine the price and volatility spillovers between the U.S. and Indian stock markets. The empirical results suggest that there is price spillover effect from the U.S. market to its Indian counterpart during the period September 1998 — August 2003. However, the volatility spillovers, between these two stock markets, do not have any empirical support. © 2006, The Indian Econometric Society.

引用

页码：1 / 13

页数：12

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