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Paper Information

Journal:   IRANIAN JOURNAL OF MANAGEMENT STUDIES   SUMMER 2016 , Volume 9 , Number 3; Page(s) 539 To 558.
 
Paper: 

CO-MOVEMENT AMONG INDUSTRY INDICES OF TEHRAN STOCK EXCHANGE, WAVELET COHERENCE APPROACH

 
 
Author(s):  MOHAMMADI SOMAYEH, ABBASI EBRAHIM*, MANSOURFAR GHOLAMREZA, BEIGLARI FAHIMEH
 
* FACULTY OF SOCIAL SCIENCES AND ECONOMIC, ALZAHRA UNIVERSITY, TEHRAN, IRAN
 
Abstract: 

Co-movement analysis has a significant role in recourse allocation, risk management, etc. This study uses the novel approach of wavelet coherence in continuous wavelet transform framework to investigate the correlation dynamic and spillover effect of 10 main sector indices of Tehran Stock Exchange, in time and frequency domains. Analyzing the data indicates that correlation structure among TSE sectors is dynamic and varies over time. Besides, co-movements of industry indices have a multi-scale character. In other words, investors with different investment horizons would benefit differently if they diversify their portfolios via the same industries. In addition, results indicate that the spillover effect pattern is a scaled based phenomenon. This study suggests time scales of 2-32 days as the best time horizon for portfolio diversification.

 
Keyword(s): CO-MOVEMENT, CONTINUOUS WAVELET TRANSFORM, SECTOR RETURNS, VOLATILITY SPILLOVER, WAVELET COHERENCE
 
 
References: 
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Click to Cite.
APA: Copy

MOHAMMADI, S., & ABBASI, E., & MANSOURFAR, G., & BEIGLARI, F. (2016). CO-MOVEMENT AMONG INDUSTRY INDICES OF TEHRAN STOCK EXCHANGE, WAVELET COHERENCE APPROACH. IRANIAN JOURNAL OF MANAGEMENT STUDIES, 9(3), 539-558. https://www.sid.ir/en/journal/ViewPaper.aspx?id=507363



Vancouver: Copy

MOHAMMADI SOMAYEH, ABBASI EBRAHIM, MANSOURFAR GHOLAMREZA, BEIGLARI FAHIMEH. CO-MOVEMENT AMONG INDUSTRY INDICES OF TEHRAN STOCK EXCHANGE, WAVELET COHERENCE APPROACH. IRANIAN JOURNAL OF MANAGEMENT STUDIES. 2016 [cited 2021May13];9(3):539-558. Available from: https://www.sid.ir/en/journal/ViewPaper.aspx?id=507363



IEEE: Copy

MOHAMMADI, S., ABBASI, E., MANSOURFAR, G., BEIGLARI, F., 2016. CO-MOVEMENT AMONG INDUSTRY INDICES OF TEHRAN STOCK EXCHANGE, WAVELET COHERENCE APPROACH. IRANIAN JOURNAL OF MANAGEMENT STUDIES, [online] 9(3), pp.539-558. Available: https://www.sid.ir/en/journal/ViewPaper.aspx?id=507363.



 
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