Wavelet-Based Beta Estimation: Applications to Indian Stock Market
Asset Pricing, Forthcoming
10 Pages Posted: 15 Jul 2012
Date Written: April 5, 2012
This paper applies the multi-scale beta estimation approach based on wavelet analysis to all stocks comprising BSE-Sensex. Betas are calculated based on the wavelet decomposition from the Maximal overlap discrete wavelet transform (DWT). It is shown that the multi-scale beta estimation approach is useful in certain cases.
Keywords: Beta, Wavelet
JEL Classification: G12, C49
Suggested Citation: Suggested Citation