APPLICATION OF WAVELET ANALYSIS IN ESTIMATING SYSTEMATIC RISK ACCORDING TO CAPITAL ASSET PRICING MODEL

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TALEBNIA QODRATOLLAH; RAHNOMAYE ROODPOSHTI FARIDOON; SHAHVAYSI FARHAD

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Journal: Year:2011 | Volume:6 | Issue:15 Page(s): 113-123

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Information Journal Paper

Title

APPLICATION OF WAVELET ANALYSIS IN ESTIMATING SYSTEMATIC RISK ACCORDING TO CAPITAL ASSET PRICING MODEL

Author(s)

TALEBNIA QODRATOLLAH | RAHNOMAYE ROODPOSHTI FARIDOON | SHAHVAYSI FARHAD | Issue Writer Certificate

Keywords

CAPITAL ASSET PRICING MODELQ2

WAVELETSQ2

TIME-SCALEQ2

SYSTEMATIC RISKQ2

MULTI-SCALE SYSTEMIC RISKQ2

Abstract

The purpose of this research is to study the behavior of SYSTEMATIC RISK (beta) and the relationship between SYSTEMATIC RISK and stock returns according to CAPITAL ASSET PRICING MODEL within different time scales, to determine the ideal period for stock holding, and to study the significance of the concept of time scale for yield in the context of investment decisions via a new and innovative tool, namely the wavelet analysis tool. We have applied this tool to analyze the time series of daily stock returns of 80 companies listed in Tehran Stock Exchange from 1378 to 1386 using scale to scale method. To measure the beta of each share in each time scale, we have measured the wavelet variance of portfolio return of the market stocks and the wavelet covariance between portfolio return of the market stocks and stock returns of the studied companies. This study is descriptive (quasi-experimental) and the research project is post-event. For statistical analysis and hypothesis testing, regression method was used. The results of the study show that between the independent variable of SYSTEMATIC RISK and the dependent variables of expected return of individual stocks and the expected return of stock portfolios there is no substantive and meaningful relationship. This means that beta coefficient plays no role in return description. But there is a meaningful relationship between historical and future SYSTEMATIC RISK of individual stocks and stock portfolios in different time scales.

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APA: Copy

TALEBNIA, QODRATOLLAH, RAHNOMAYE ROODPOSHTI, FARIDOON, & SHAHVAYSI, FARHAD. (2011). APPLICATION OF WAVELET ANALYSIS IN ESTIMATING SYSTEMATIC RISK ACCORDING TO CAPITAL ASSET PRICING MODEL. JOURNAL OF INDUSTRIAL MANAGEMENT, 6(15), 113-123. SID. https://sid.ir/paper/171094/en

Vancouver: Copy

TALEBNIA QODRATOLLAH, RAHNOMAYE ROODPOSHTI FARIDOON, SHAHVAYSI FARHAD. APPLICATION OF WAVELET ANALYSIS IN ESTIMATING SYSTEMATIC RISK ACCORDING TO CAPITAL ASSET PRICING MODEL. JOURNAL OF INDUSTRIAL MANAGEMENT[Internet]. 2011;6(15):113-123. Available from: https://sid.ir/paper/171094/en

IEEE: Copy

QODRATOLLAH TALEBNIA, FARIDOON RAHNOMAYE ROODPOSHTI, and FARHAD SHAHVAYSI, “APPLICATION OF WAVELET ANALYSIS IN ESTIMATING SYSTEMATIC RISK ACCORDING TO CAPITAL ASSET PRICING MODEL,” JOURNAL OF INDUSTRIAL MANAGEMENT, vol. 6, no. 15, pp. 113–123, 2011, [Online]. Available: https://sid.ir/paper/171094/en

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