Difference in nature of correlation between NASDAQ and BSE indices

We apply a recently developed wavelet based approach to characterize the correlation and scaling properties of non-stationary financial time series. This approach is local in nature and it makes use of wavelets from the Daubechies family for detrending purpose. The built-in variable windows in wavel...

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Bibliographic Details
Published in:arXiv.org 2008-04
Main Authors: Manimaran, P, Panigrahi, Prasanta K, Parikh, Jitendra C
Format: Article
Language:English
Subjects:
Random noise
Statistical correlation
Stock market indexes
Variation
Wavelet transforms
Online Access:Get full text
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Summary:We apply a recently developed wavelet based approach to characterize the correlation and scaling properties of non-stationary financial time series. This approach is local in nature and it makes use of wavelets from the Daubechies family for detrending purpose. The built-in variable windows in wavelet transform makes this procedure well suited for the non-stationary data. We analyze daily price of NASDAQ composite index for a period of 20 years, and BSE sensex index, over a period of 15 years. It is found that the long-range correlation, as well as fractal behavior for both the stock index values differ from each other significantly. Strong non-statistical long-range correlation is observed in BSE index, whose removal revealed a Gaussian random noise character for the corresponding fluctuation. The NASDAQ index, on the other hand, showed a multifractal behavior with long-range statistical correlation.
ISSN:2331-8422