Time-scale comovement between the Indian and world stock markets

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 heterogene- ous groups of foreign and Indian investors who trade in different time horizons to actively manage and hedge against the risk of their portfolios.