Paper Information

Journal:   THE IRANIAN ACCOUNTING AND AUDITING REVIEW   WINTER 2010 , Volume 16 , Number 58; Page(s) 0 To 0.
 
Paper:  A SURVEY OF THE TIME SCALE OF CAPITAL ASSET PRICING MODEL (CAPM) BY WAVELET TRANSFARM
 
Author(s):  ESLAMI GH.R., ABDOH TABRIZI H., MOHAMMADI SHAPOUR, SHAMS SH.A.D.
 
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Abstract: 

This essay deals with the possibility of better description of market return covariance and the efficiency of share company which are listed in Tehran stock exchange and seven world countries’ as well as capital asset pricing model by using wavelet conversion approach. In this sense, data was extracted that related to the securities and stock exchange indices of Tehran, Seoul, Hong Kong, Buenos Aires, Mexico City, Vienna, London, New York, NASDAQ, and international indices of New York, S&P100, S&P500 indicators and their components as well as details which derived by different levels of Haar, Daubechie, Symlet, Coiflet. The results indicated that Betas extracted by using wavelet, are meaningfully higher than this status, and from the other hand, the efficiency of different functions applied in wavelet conversion is identical, but the higher level that identifies the longer time scale, are more meaningful and efficient. The efficiency of time application with different is not the same for various indices, and different markets present the efficiency within better and different time scale.

 
Keyword(s): MULTI- RESOLUTION ANALYSIS, BETA, TIME SCALE, WAVELET
 
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