The Relationship between Portfolio Return Volatility and Stock Return Volatility Based on Wavelet Analysis

Abstract

This study examined the relationship between portfolio return volatility and the volatility of stock returns using wavelet analysis on the Tehran Stock Exchange The data for this study from 58 companies member of the Tehran Stock Exchange, the pharmaceutical, food and automotive cluster sampling method in the period 2008-2013 using the  Novin software, Tadbir Pardaz software, and stock sites such as www.rdis.ir, through calculating portfolio return volatility and the volatility of stock returns have been collected , and Using wavelet analysis tools in MATLAB software was evaluated. .The results show that, in the short and medium term than long-term relationship between stock returns and the level portfolio return is so severe that the stock market in the short and medium term is more efficient than in the long run.

Keywords: portfolio returns volatility, stock return volatility, wavelet, time scale, the Stock Exchange