Measurement and assessment of systematic risk of selected industries in stock exchange using wavelet approach

Investment is an essential factor in a country’s economic development. Meanwhile, return and risk have been effective factors in investment. Today, many financial economists have accepted Risk or Beta as a standard tool for assessing the risk involved in certain actions. This paper has been conducted to find a way to obtain the risk of industries in different timescales included in the short-term and long-term. The statistical population includes a daily index of selected industries (including banks and the food, and car industries) from ۲۰۰۹ to ۲۰۱۴. The present study has measured the risk in different timescales using the wavelet analysis, and consequently, the risk time series have been expressed using a State- Space model. The direct relation between the risk of the selected industries and the market have been eventuated in which, an increase in return of the market would lead to an increase in return of industries and this has also been proven when there is a reduction in return.  

کلیدواژه ها:

Systematic risk ، Stat Space Model ، Beta Coefficient ، Wavelet