文章基本信息

标题：CO-MOVEMENT AMONG INDUSTRY INDICES OF TEHRAN STOCK EXCHANGE, WAVELET COHERENCE APPROACH
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作者：MOHAMMADI SOMAYEH ; ABBASI EBRAHIM ; MANSOURFAR GHOLAMREZA 等
期刊名称：Iranian Journal of Management Studies
印刷版ISSN：2008-7055
出版年度：2016
卷号：9
期号：3
页码：539-558
语种：English
出版社：University of Tehran * College of Farabi
摘要：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.
关键词：CO-MOVEMENT; CONTINUOUS WAVELET TRANSFORM; SECTOR RETURNS; VOLATILITY SPILLOVER; WAVELET COHERENCE