Beta through the prism of wavelets

Financial Innovation

Table 3 Wavelet betas for Mid Cap stocks

Industry	CAPM Beta	D1	D2	D3	D4	D5	D6	D7	S7	Mean (D1 to S7)	D1 = D5	D1 = D7
CG	0.95	0.89	0.95	0.97	1.11	1.12	0.85	1.19	1.12	1.03	2.50^a	1.19
IT	1.01	1.04	0.92	1.03	1.04	1.06	0.98	0.88	1.14	1.01	0.80	1.87^b
Banking	0.94	0.86	1.01	1.00	1.06	0.92	1.01	0.81	0.95	0.95	0.69	0.87
Metal	1.10	1.04	1.28	1.06	0.89	1.19	0.68	1.45	1.44	1.13	1.88^b	2.56^a
O&G	0.88	0.83	0.89	0.92	0.93	0.93	0.96	0.89	0.74	0.89	1.03	0.67
Pharmacy	0.65	0.61	0.70	0.61	0.68	0.67	0.72	0.58	0.60	0.65	0.65	1.10
Housing	1.19	1.22	1.15	1.11	1.20	1.32	1.33	1.13	1.38	1.23	1.18	1.82^b
Power	0.91	0.44	1.06	1.14	1.25	1.11	0.98	0.71	0.90	0.95	4.20^a	3.15^a
Trans.	0.89	0.84	0.90	0.92	0.90	0.93	0.95	1.05	1.10	0.95	0.77	1.08
Agriculture	0.66	0.63	0.73	0.55	0.77	0.70	0.75	0.59	0.67	0.68	1.51	0.81
FMCG	1.05	1.02	1.07	1.10	1.12	1.22	0.92	1.08	0.77	1.04	2.80^a	2.70^a
CD	0.99	0.94	1.00	0.96	1.19	1.08	1.12	0.71	1.15	1.02	1.38	3.83^a
Diversified	0.74	0.55	0.76	0.90	0.91	1.08	0.81	1.29	1.00	0.91	4.59^a	3.31^a
Overall	0.91	0.84	0.91	0.95	0.92	0.97	0.97	0.97	0.97	0.89	1.18	0.76

Superscripted letters ^{a, b}, denote values with statistical significance at 1%, and 5% respectively
CG, O&G and CD denotes Capital Goods; Oil & Gas and Consumer Durables Industry respectively