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Wavelet-Based Beta Estimation: Applications to Indian Stock Market


Aasif Shah M.


Pondicherry University

Malabika Deo


Pondicherry University - Department of Commerce
April 5, 2012

Asset Pricing, Forthcoming

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.

Number of Pages in PDF File: 10

Keywords: Beta, Wavelet

JEL Classification: G12, C49

Accepted Paper Series


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Date posted: July 15, 2012  

Suggested Citation

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

Contact Information

Aasif Shah 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
Feedback to SSRN (Beta)


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