Wavelet-Based Beta Estimation: Applications to Indian Stock Market

Asset Pricing, Forthcoming

10 Pages Posted: 15 Jul 2012

See all articles by Aasif M.

Aasif M.

Pondicherry University

Malabika Deo

Pondicherry University - Department of Commerce

Multiple version iconThere are 2 versions of this paper

Date Written: April 5, 2012

Abstract

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

M., Aasif and Deo, Malabika, Wavelet-Based Beta Estimation: Applications to Indian Stock Market (April 5, 2012). Asset Pricing, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2105605

Aasif M. (Contact Author)

Pondicherry University ( email )

Department of Commerce
Kanchi Mamunivar Centre for Post Graduate Studies
Pondicherry University, Tamil Nadu 605014
India
+91-8122263418 (Phone)

Malabika Deo

Pondicherry University - Department of Commerce ( email )

Department of Commerce
Kanchi Mamunivar Centre for Post Graduate Studies
Pondicherry University, Tamil Nadu 605014
India

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