Time-Frequency Coherence and Forecast Analysis of Selected Stock Returns in Ghan Using Haar Wavelet

Aims/ objectives: The study seeks to analyze the correlation of some selected stock returns with respect to both time and frequency domain, and also to forecast returns using Wavelet Coherence and Wavelet-ARIMA model as alternative to Pearson correlation and ARIMA model respectively. Study Design: Financial Mathematics. Place and Duration of Study: August 2016 to July 2017 , Department of Mathematics, Kwame Nkrumah University of Science and Technology. Methodology: We transform data using the Haar Wavelet as the basis function. Results: Results revealed interesting dynamics of correlations altering in time and across frequencies continually between paired returns. Furthermore, Wavelet-Arima method was found to be more appropriate for forecast with minimal error measure of forecast values. Conclusion: Given the heterogeneous trading behavior in stock markets, investors operate at different frequencies for their trade and investment preferences. Thus, apart from the time domain, there is a frequency domain, which represents various investment horizons. *Corresponding author: E-mail: reghan3@st.knust.edu.gh Eghan et al.; JAMCS, 30(5): 1-12, 2019; Article no.JAMCS.46323