Co-movement among industry indices of Tehran Stock Exchange, Wavelet Coherence approach

Document Type: Research Paper

Authors

1 Faculty of Social sciences & Economic, Alzahra University, Tehran, Iran

2 Faculty of Economic & Administration, Urmia University, Urmia, Iran

3 Department of Science, Urmia University of Technlogy,Urmia, Iran

Abstract

Co-movement analysis has a significant role in recourse allocation, risk management, etc. This study uses the novel approach of wavelet coherence in continuous wavelet transform framework to investigate the correlation dynamic and spillover effect of 10 main sector indices of Tehran Stock Exchange, in time and frequency domains. Analyzing the data indicates that correlation structure among TSE sectors is dynamic and varies over time. Besides, co-movements of industry indices have a multi-scale character. In other words, investors with different investment horizons would benefit differently if they diversify their portfolios via the same industries. In addition, results indicate that the spillover effect pattern is a scaled based phenomenon. This study suggests time scales of 2-32 days as the best time horizon for portfolio diversification.

Keywords

Main Subjects


Article Title [Persian]

بررسی هم‌حرکتی بازده در میان صنایع بورس اوراق بهادار تهران، رویکرد همبستگی موجکی

Authors [Persian]

  • سمیه محمدی 1
  • ابراهیم عباسی 1
  • غلامرضا منصورفر 2
  • فهیمه بیگلری 3
1 گروه مدیریت، دانشکده عاوم اجتماعی و اقتصادی، دانشگاه الزهرا، تهران، ایران
2 گروه حسابداری، دانشکده اقتصاد و مدیریت، دانشگاه ارومیه، ارومیه، ایران
3 گروه ریاضی کاربردی، دانشکده علوم پایه، دانشگاه صنعتی ارومیه، ارومیه، ایران
Abstract [Persian]

بررسی هم‌حرکتی بخش‌ها نقشی اساسی در تخصیص بهینة منابع و مدیریت ریسک دارد. این پژوهش با استفاده از رویکرد نوین همبستگی موجکی در چارچوب تبدیل موجک پیوسته، تغییر و پویایی هم‌ حرکتی بازده و اثر سرایت نوسانات شاخص ده صنعت بزرگ بورس اوراق بهادار تهران را به طور هم‌زمان در دو دامنة زمان و فرکانس بررسی می‌کند. تجزیه‌وتحلیل داده‌ها نشان‌دهندة وجود ویژگی پویایی در ساختار همبستگی میان بازده شاخص صنایع بورس اوراق بهادار تهران طی زمان است. به‌علاوه، همبستگی متقابل بازده صنایع دارای ویژگی چند مقیاسی است. به‌عبارتی دیگر سرمایه‌گذاران با افق‌های سرمایه‌گذاری مختلف، با تشکیل سبد سهام از میان صنایع یکسان به یک میزان منتفع نمی‌شوند. همچنین، الگوی سرایت نوسانات میان شاخص صنایع پدیده‌ای وابسته به مقیاس است. این پژوهش افق‌های سرمایه‌گذاری 2-32 روزه را بهترین مقیاس‌های زمانی در تنوع‌سازی پرتفوی معرفی می‌کند.

Keywords [Persian]

  • بازده صنایع
  • تبدیل موجک پیوسته
  • سرایت‌پذیری نوسانات
  • همبستگی موجکی
  • هم‌حرکتی
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