Empirical Economics

, Volume 48, Issue 2, pp 699–714

Time–frequency relationship between share prices and exchange rates in India: Evidence from continuous wavelets

  • Aviral Kumar Tiwari
  • Niyati Bhanja
  • Arif Billah Dar
  • Faridul Islam

DOI: 10.1007/s00181-014-0800-3

Cite this article as:
Tiwari, A.K., Bhanja, N., Dar, A.B. et al. Empir Econ (2015) 48: 699. doi:10.1007/s00181-014-0800-3


The paper examines the relationship between exchange rates and share prices using the wavelets approach, and more specifically the continuous wavelet power spectrum, cross-wavelet transform, and cross-wavelet coherency. Our results, based on Indian data, lend support to the traditional (Am Econ Rev 70:960–971, 1980) as well as the new portfolio hypothesis (Am Econ Rev 83:1356–1369, 1993), albeit over different time periods and across different time scales. The wavelet approach used in the paper has helped to uncover some interesting economic relationships within the time–frequency domain which have remained hidden thus far.


Cyclical and anti-cyclical effects Cross-wavelet transform  Wavelet coherency, India 

JEL Classification

G15 C40 E32 F21 F31 

Copyright information

© Springer-Verlag Berlin Heidelberg 2014

Authors and Affiliations

  • Aviral Kumar Tiwari
    • 1
  • Niyati Bhanja
    • 2
  • Arif Billah Dar
    • 3
  • Faridul Islam
    • 4
  1. 1.Research scholar and Faculty of Applied Economics, Faculty of ManagementICFAI University TripuraSadarIndia
  2. 2.Department of Economics & IBUniversity of Petroleum and Energy StudiesDehradunIndia
  3. 3.Institute of Rural Management (IRMA)AnandIndia
  4. 4.Department of EconomicsMorgan State UniversityBaltimoreUSA

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