Measurement and assessment of systematic risk of selected industries in stock exchange using wavelet approach

Document Type : Original Article

Authors

1 Assistant Prof., Department of Economics, Islamic Azad University central Tehran branch, Tehran, Iran.

2 Ph.D. Candidate, Department of Finance, Islamic Azad University South Tehran Branch, Tehran, Iran.

Abstract

Investment is an essential factor in a country’s economic development. Meanwhile, return and risk have been effective factors in investment. Today, many financial economists have accepted Risk or Beta as a standard tool for assessing the risk involved in certain actions. This paper has been conducted to find a way to obtain the risk of industries in different timescales included in the short-term and long-term. The statistical population includes a daily index of selected industries (including banks and the food, and car industries) from 2009 to 2014. The present study has measured the risk in different timescales using the wavelet analysis, and consequently, the risk time series have been expressed using a State- Space model. The direct relation between the risk of the selected industries and the market have been eventuated in which, an increase in return of the market would lead to an increase in return of industries and this has also been proven when there is a reduction in return.  

Keywords

References

Cifter A., A. Ozun A, 2008, Signal Processing Model for Time Series Analysis: The Effect of International F/X Markets on Domestic Currencies Using Wavelet Networks, International Review of Electrical Engineering No. 3, Pp. 580-591
CifterA. , A. Ozun, 2007, multi scale Systematic Risk: An Application on ISE 30. MPRA Paper 2484, University Library of Munich, Germany
Conlon T, Crane M., Ruskin H. J., 2008, Wavelet Multi scale Analysis for Hedge Funds: Scaling and Strategies, Physical No. 387, Pp. 5197-5204
Drabi, Roya, Saeedi, Atiye, 2009, assessment of relationship between operating leverage and systematic risk in Tehran Stock Exchange, Journal of Financial Accounting and Auditory, No. 2, Pp. 141-162
Hejazi, Mehran, Gholamhosseini, Mehri, 2010, assessment of use of Capital Asset Pricing Model in Tehran Stock Exchange, Journal of Financial Accounting and Auditory, No. 34, Pp. 65-92
Lynch & Zumbach, 2003, Lynch, P. and Zumbach,m G. (2003). Market heterogeneities and the causal structure of volatility. Quantitative Finance, 3:320-331.
Mohammadi, Shapoor et al, 2007, assessment of different estimation methods of Beta in Tehran Stock Exchange, Auditory and Accounting assessments, No. 14, Pp. 3-38
Raee, Reza, Khosravi, Amir Reza, 2007, specification of Capital Asset Pricing Model with emphasize on undesirable risk in Tehran Stock Exchange, Journal of Social and Human science, No. 7, Pp. 45-62
 Sadeghi, Hossein, Zolfaghari, Mehdi, 2010, basis of prediction models in economics, Noore Elm Pub. First addition, Tehran
Samadi, Saeed, Nasrollahi, Zahra, Zahedmeh, Amin, 2007, efficiency test of existence bubble in Tehran Stock Exchange using filter rule and CAPM, Economic Journal of Quantitative assessments, No. 4, Pp. 91-113
Zolfaghari mahdi, Sadeghi hossein, Aram  Rahman, 2012, Modeling and Forcasting of Urban Water short – run Demand, Journal of Economic Studies and Policies (Economic Policies), winte2012, Volume 7(17), Number 2(87); Page (s) 159 to 172.
Iranian Journal of Finance
Volume 2, Issue 4
October 2018
Pages 64-77

Files

Share

How to cite

Statistics