Beta through the prism of wavelets

Financial Innovation

Table 5 Wavelet betas for Small Cap stocks

Industry	CAPM Beta	D1	D2	D3	D4	D5	D6	D7	S7	Mean (D1 to S7)	D1 = D5	D1 = D7
CG	1.03	1.06	1.03	1.00	1.03	0.92	1.00	1.17	0.95	1.03	1.41	2.76^a
IT	1.11	1.06	1.03	1.02	0.96	0.87	0.95	0.81	1.02	0.96	1.92^b	1.03
Bank	1.11	1.08	1.12	1.08	1.23	1.04	1.15	1.26	1.18	1.13	0.68	2.83^a
Metal	1.08	1.12	1.04	1.07	1.07	1.06	1.08	1.13	1.22	1.08	0.58	1.76^b
O&G	1.19	1.17	1.22	1.27	1.10	1.27	1.19	1.07	1.10	1.15	1.75^b	2.704^a
Parma	0.84	0.83	0.89	0.85	0.78	0.90	0.81	0.70	0.76	0.82	0.66	1.70^b
Housing	1.19	1.22	1.22	1.12	1.08	1.21	1.17	1.40	1.21	1.21	0.69	3.66^a
Power	1.05	0.98	0.96	1.10	1.15	0.99	1.55	1.20	1.21	1.13	0.81	2.806^a
Transport	0.91	0.90	0.94	0.88	0.95	0.95	0.82	0.89	0.85	0.90	0.76	0.83
FMCG	0.55	0.82	0.89	0.93	0.99	0.80	0.95	0.70	0.88	0.87	0.71	0.66
Agricultur	0.92	0.98	0.91	0.87	0.78	0.95	0.85	0.92	0.77	0.90	0.63	0.63
CD	0.85	0.84	0.76	0.90	0.97	0.85	0.95	0.66	1.15	0.85	0.80	1.68^b
Diversified	1.21	1.20	1.23	1.21	1.18	1.19	1.39	1.15	1.14	1.22	0.66	0.86
Overall	1.01	1.11	1.02	1.01	1.01	0.98	1.03	0.99	1.10	1.01	1.13	0.63

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 Durable industries respectively