Approach of Maximal Overlap Discrete Wavelet Transforms to Stock Return in the Iran Capital Market

Advances in Mathematical Finance and Applications

مقاله 12، دوره 8، شماره 2، مرداد 2023، صفحه 549-567   

نوع مقاله: َApplied-Research Paper

شناسه دیجیتال (DOI): 10.22034/amfa.2022.1948898.1679

نویسندگان

Roghayeh Samadi^{* 1}؛ Mohammad Ezazi²؛ Reza Tehrani³؛ Seyed aligholi Roshan⁴؛ Mohammad Nabi Shahiki Tash⁵

¹PhD student, Faculty of Management and Economics, Sistan and Baluchestan University, Zahedan, Iran

²Assistant Professor, Faculty of Management and Economics, Sistan and Baluchestan University, Zahedan, Iran

³Management and Insurance Group, Faculty of Management, Tehran University, Tehran, Iran

⁴Faculty of Management and Economics, Sistan and Baluchestan University, Zahedan, Iran

⁵Faculty of Management and Economics , University of Sistan and Baluchestan, Faculty of Economics

چکیده

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 2011 to 2020 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.

کلیدواژه‌ها

Maximal overlap discrete wavelet transform(MODWT)؛ stock returns؛ wavelet

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