Approach of Maximal Overlap Discrete Wavelet Transforms to Stock Return in the Iran Capital Market
سال انتشار: 1402
نوع سند: مقاله ژورنالی
زبان: انگلیسی
مشاهده: 89
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شناسه ملی سند علمی:
JR_AMFA-8-2_012
تاریخ نمایه سازی: 30 خرداد 1402
چکیده مقاله:
The main purpose of this study is to determine the real and dynamic relationship between returns and stock market fluctuations in different time horizons so that its key results can measure the predictive power of returns and stock market fluctuations in determining the level of economic activity of investors. Accurate measurement of these relationships helps investors predict stock market movements in the future and Develop, plan and implement their own investment strategies in each time horizon. In this research Maximal overlap discrete wavelet transform has been used to investigate the relationships between industries return fluctuations and stock main indices in different time horizons from ۲۰۱۱ to ۲۰۲۰ have been estimated. The results showed that the wavelet variance of the rate of return varies in different industries. The return of investment companies on various time scales is equal to the investment return of the banking industry. The variance of the total index is less on different time scales than the value of the cash index.
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نویسندگان
Roghayeh Samadi
PhD student, Faculty of Management and Economics, Sistan and Baluchestan University, Zahedan, Iran
Mohammad Ezazi
Assistant Professor, Faculty of Management and Economics, Sistan and Baluchestan University, Zahedan, Iran
Reza Tehrani
Management and Insurance Group, Faculty of Management, Tehran University, Tehran, Iran
Seyed aligholi Roshan
Faculty of Management and Economics, Sistan and Baluchestan University, Zahedan, Iran
Mohammad Nabi Shahiki Tash
Faculty of Management and Economics , University of Sistan and Baluchestan, Faculty of Economics
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