Characterizing Co-Movements between Indian and Emerging Asian Equity Markets Through Wavelet Multi-Scale Analysis

Journal of East Asian Economic Integration, Vol. 19, No. 2 (June 2015) 189-220

31 Pages Posted: 7 Jul 2015 Last revised: 6 Nov 2016

See all articles by Aasif M.

Aasif M.

Pondicherry University

Malabika Deo

Pondicherry University - Department of Commerce

Wayne King

The MathWorks, Inc.

Date Written: June 30, 2015

Abstract

Multi-scale representations are effective in characterising the time-frequency characteristics of financial return series. They have the capability to reveal the properties not evident with typical time domain analysis. Given the aforesaid, this study derives crucial insights from multi scale analysis to investigate the comovements between Indian and emerging Asian equity markets using wavelet correlation and wavelet coherence measures. It is reported that the Indian equity market is strongly integrated with Asian equity markets at lower frequency scales and relatively less blended at higher frequencies. On the other hand the results from cross correlations suggest that the lead-lag relationship becomes substantial as we turn to lower frequency scales and finally, wavelet coherence demonstrates that this correlation eventually grows strong in the interim of the crises period at lower frequency scales. Overall the findings are relevant and have strong policy and practical implications.

Keywords: Asian Markets, Time Domain, Frequency Domain, Wavelets, Multi-Scale Analysis

JEL Classification: F36, G11, G15

Suggested Citation

M., Aasif and Deo, Malabika and King, Wayne, Characterizing Co-Movements between Indian and Emerging Asian Equity Markets Through Wavelet Multi-Scale Analysis (June 30, 2015). Journal of East Asian Economic Integration, Vol. 19, No. 2 (June 2015) 189-220, Available at SSRN: https://ssrn.com/abstract=2627458

Aasif M. (Contact Author)

Pondicherry University ( email )

Department of Commerce
Kanchi Mamunivar Centre for Post Graduate Studies
Pondicherry University, Tamil Nadu 605014
India
+91-8122263418 (Phone)

Malabika Deo

Pondicherry University - Department of Commerce ( email )

Department of Commerce
Kanchi Mamunivar Centre for Post Graduate Studies
Pondicherry University, Tamil Nadu 605014
India

Wayne King

The MathWorks, Inc. ( email )

3 Apple Hill Drive
Natick, MA 01760-2098
United States

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