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Comovement, Indian Stock Markets, DCC-GARCH, Wavelet Analysis
We propose a wavelet-based dynamic conditional correlation – GARCH approach to investigate the time-scale comovement between the Indian and world stock markets. Our empirical analysis reveals the existence of time-scale-dependent comovement between Indian and world stock markets. The results can thus be used by heterogeneous groups of foreign and Indian investors who trade in different time horizons to actively manage and hedge against the risk of their portfolios.