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

Author

Listed:
  • Pratap Chandra Biswal

    (T. A. Pai Management Institute)

  • Prabir Kumar Mohanty

    (International Management Institute (IMI))

Abstract

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.

Suggested Citation

  • Pratap Chandra Biswal & Prabir Kumar Mohanty, 2006. "Wavelet Analysis of Price and Volatility Spillovers in Stock Markets: The Case of India and the US," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 4(2), pages 1-13, July.
  • Handle: RePEc:spr:jqecon:v:4:y:2006:i:2:d:10.1007_bf03546444
    DOI: 10.1007/BF03546444
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Spillover effect; Wavelets; Scaling; Decomposition; Transmission;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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