Khalfaoui Rabeh, K and Boutahar Mohamed, B (2011): A timescale analysis of systematic risk: waveletbased approach.

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Abstract
The paper studies the impact of different timescales on the market risk of individual stock market returns and of a given portfolio in Paris Stock Market by applying the wavelet analysis. To investigate the scaling properties of stock market returns and the lead/lag relationship between them at different scales, wavelet variance and crosscorrelations analyses are used. According to wavelet variance, stock returns exhibit long memory dynamics. The wavelet crosscorrelation analysis shows that comovements between stock returns are stronger at higher scales (lower frequencies); scales corresponding to period of 4 months and longer, i.e. scales 7 and 8. The wavelet analysis of systematic risk shows that all individual assets and the diversified portfolio have a multiscale behavior, which indicates that the systematic risk measured by Beta in the market model is not stable over time. The analysis of VaR at different time scales shows that risk is more concentrated at higher frequencies dynamics (lower time scales) of the data.
Item Type:  MPRA Paper 

Original Title:  A timescale analysis of systematic risk: waveletbased approach 
English Title:  A timetcale analysis of systematic risk: waveletbased approach 
Language:  English 
Keywords:  Wavelets; Systematic risk; ValueatRisk 
Subjects:  G  Financial Economics > G1  General Financial Markets > G12  Asset Pricing; Trading volume; Bond Interest Rates C  Mathematical and Quantitative Methods > C0  General > C02  Mathematical Methods G  Financial Economics > G3  Corporate Finance and Governance > G32  Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill 
Item ID:  31938 
Depositing User:  KR KHALFAOUI 
Date Deposited:  30. Jun 2011 13:20 
Last Modified:  16. Feb 2013 18:41 
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URI:  http://mpra.ub.unimuenchen.de/id/eprint/31938 