文章基本信息

标题：An empirical analysis to study the cyclical trends on stock exchange using wavelet methods
本地全文：下载
作者：Ehsan Badiei ; Shapour Mohammadi
期刊名称：Management Science Letters
印刷版ISSN：1923-9335
电子版ISSN：1923-9343
出版年度：2011
卷号：1
期号：1
页码：57-64
DOI：10.5267/j.msl.2010.01.004
出版社：Growing Science
摘要：During the past few decades, there have been many evidences to believe that the stock markets around the world follow cyclical trends. In this paper, we study the cyclical trends using wavelet function based on various time windows on some major stock market indices. We use two methods of Daubechies and reverse bi-orthogonal wavelet methods and determine the optimal values of both methods. The results are used for Tehran stock exchange using the most recent ten years daily information as an empirical study. The details of our analysis on TEDPIX index for the last decade indicate that there are, at least, four trends of weekly, monthly, quarterly and yearly and the cycles would be expected to be repeated in future
关键词：Wavelet method Stock market; Tehran stock exchange; Daubechies; reverse bi-orthogonal; Cyclical trends