A+| A| A-

A Global Perspective

Time-varying Nature of Stock Market Interdependence

In the literature on global market integration, the strength of interdependence has been measured in different ways. However, only an accurate measure of strength of interdependence helps in understanding the nature of integration among markets. This article, by employing novel time-frequency based wavelet techniques, analyses the interdependence of global equity markets from a heterogeneous investor perspective, with a special focus on the Indian stock market. With the wavelet framework effectively capturing the heterogeneity of market participants’ space of operation, an analysis grounded in this framework allows one to capture information from a different dimension than the traditional time domain analyses, where the multiscale structures of financial markets are clearly extracted.

To read the full text Login

Get instant access

New 3 Month Subscription
to Digital Archives at

₹826for India

$50for overseas users

Updated On : 30th Mar, 2020

Comments

(-) Hide

EPW looks forward to your comments. Please note that comments are moderated as per our comments policy. They may take some time to appear. A comment, if suitable, may be selected for publication in the Letters pages of EPW.

The issue and relevance of financial misconduct and fear of prosecution on the lending behaviour of Indian banks is investigated by combining bank...

The Indian economy is presently gripped by the dual phenomenon of an unprecedented slowdown as well as financial fragility. What has triggered...

The regime shifts in Indian monetary policy during the period 1998–2017 are estimated by applying a multivariate Markov-switching Vector...

Against the backdrop of the North Atlantic financial crisis that erupted in 2007–08, this article looks into the changing role of central banks...

 Statements like “money, finance and banking are at the crossroads at this juncture” have become a much-used cliché, but tend to be true for most...

Using district-level data, the effect of financial literacy centres on financial inclusion in India is investigated. There is evidence of an...

In the Indian context, a key question is addressed: What has been the influence of monetary policy on different segments of the financial markets...

The riskiness of banks (public and private) and non-banking financial companies listed on the stock exchange is examined by measuring their extent...

Over 2017–18, there was a sharp rise in Indian government securities interest rates unrelated to fundamentals. Examining each of the standard...

The flow of events and ideas behind central banking in India, in four distinct phases since independence—1950–70, 1970–90, 1990–2010, and post...

Back to Top