Wavelet-Based Beta Estimation: Applications to Indian Stock Market

Malabika Deo; Aasif Shah

doi:10.65453/ajbmr.v1i11.304

Wavelet-Based Beta Estimation: Applications to Indian Stock Market

Authors

Malabika Deo Professor and Head Department of Commerce School of Management Pondicherry university-605014 India
Aasif Shah Research Scholar Department of Commerce School of Management Pondicherry university-605014 India

DOI:

https://doi.org/10.65453/ajbmr.v1i11.304

Keywords:

Beta, Wavelet

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.

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Published

05-07-2012

Issue

Vol. 1 No. 11 (2012): Kuwait Chapter of Arabian Journal of Business and Management Review

Section

Articles

License

This work is licensed under a Creative Commons Attribution 4.0 International License.

How to Cite

Wavelet-Based Beta Estimation: Applications to Indian Stock Market. (2012). Arabian Journal of Business and Management Review (AJBMR), 1(11), 96-106. https://doi.org/10.65453/ajbmr.v1i11.304