Wavelet Analysis of Stock Returns and Total Index with Moving Average of Stock Returns and Total Index

Iranian Journal of Accounting, Auditing and Finance

مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 07 اردیبهشت 1403

نوع مقاله: Original Article

شناسه دیجیتال (DOI): 10.22067/ijaaf.2024.86448.1438

نویسندگان

Roghayeh Samadi Tirandazi^{* 1}؛ مهین راشکی قلعه نو²؛ Mahdi Saghafi³

¹Faculty of Management and Economics, University of Sistan & Baloochestan, Zahedan, Iran

²دکترای مدیریت مالی، دانشگاه

³Assistant Profesor. Faculty of management, economic& accounting, PNU University, Tehran, Iran

چکیده

The purpose of this research is to investigate and analyze the behavior patterns of stock market fluctuations so that based on the characteristics extracted from different time layers, appropriate strategies with different time horizons can be determined and the level of economic activity Measure the investors.In this research,by applying discrete wavelet transformation with maximum overlap in MATLAB software, stock market fluctuations are investigated and analyzed in different periods of time;For this purpose,the variances of of effective indicators are compared and analyzed during the years 2011-2020.The results of this research show that the wavelet variance of the stock return is more than the moving average of the stock return.According to the movement scales of each of the stock returns and the moving average of the stock returns during the long-term scales, the wavelet variance is less and the co-movement is less,but during the short-term time scales, the co-movement is more and the variance of the wavelet return is more among them. have been. The amount of variance of the moving average of the total index is more than that of the total index.According to the movement scales, each of the total index and the moving average of the total index have less wavelet variance and less co-movement during the long-term scales, but during the short-term time scales,the co-movement has increased and the wavelet variance of return is higher among them.

کلیدواژه‌ها

stock market fluctuations؛ wavelet variance Returns؛ - investment strategies