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      • KCI등재

        Integration of the Indian Stock Market: at the angle of Time-Frequency

        ( Aasif Shah ),( Malabika Deo ) 세종대학교 경제통합연구소 2016 Journal of Economic Integration Vol.31 No.1

        This paper uses wavelet correlation and cross correlation techniques to examine the integration between Indian and Asia Pacific equity markets. In the sense that both time and frequency domains can be taken into consideration, wavelets have been emerged as a perfect trade-off. Our results show that the Indian market is correlated with Asia Pacific markets largely on lower frequencies or longer time horizons implying that diversification opportunities for investors are more likely to exist at higher frequencies or shorter time horizons. The cross correlation result also reveals lead-lag relationship on lower frequencies which suggests investment strategies for investors operating in Indian market facing sudden changes in Asia Pacific markets.

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        Characterizing Co-movements between Indian and Emerging Asian Equity Markets through Wavelet Multi-Scale Analysis

        Aasif Shah,Malabika Deo,Wayne King 대외경제정책연구원 2015 East Asian Economic Review Vol.19 No.2

        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 co- movements 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.

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