Journal article

A comparison of developed and emerging equity market return volatility at different time scales

Elizabeth Maharaj, Don Galagedera, Jonathan Dark

Managerial Finance | EMERALD GROUP PUBLISHING LTD | Published : 2011

Abstract

Purpose – The purpose of this paper is to examine the volatility of daily returns in a sample of developed and emerging equity markets at different time scales through wavelet decomposition. Such information is vital for international investors who have different time horizons for their investment decisions and trading strategies. Design/methodology/approach – The wavelet technique used here allows the return series to be viewed at different frequency by decomposing the series into different time horizons known as time scales. The decomposed return series enable investigation of return variability at different return intervals. Findings – In an analysis at different time scales, there is no ..

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University of Melbourne Researchers