Beta through the prism of wavelets

Financial Innovation

Table 6 Corresponding wavelet R-squares

Industry	CAPM	D1	D2	D3	D4	D5	D6	D7	S7
CG	0.83	0.79	0.81	0.86	0.87	0.88	0.92	0.89	0.91
IT	0.72	0.67	0.70	0.77	0.76	0.77	0.84	0.75	0.84
Bank	0.64	0.55	0.61	0.71	0.76	0.73	0.85	0.88	0.89
Metal	0.78	0.73	0.76	0.80	0.80	0.86	0.90	0.86	0.93
O&G	0.67	0.57	0.65	0.76	0.76	0.81	0.86	0.74	0.74
Pharma	0.73	0.68	0.72	0.76	0.77	0.85	0.87	0.86	0.82
Housing	0.72	0.68	0.70	0.75	0.77	0.81	0.84	0.82	0.86
Power	0.59	0.50	0.52	0.64	0.69	0.73	0.83	0.64	0.82
Transport	0.68	0.59	0.67	0.74	0.77	0.78	0.85	0.79	0.74
FMCG	0.46	0.47	0.55	0.68	0.67	0.69	0.81	0.57	0.72
Agriculture	0.63	0.57	0.60	0.67	0.71	0.76	0.89	0.76	0.79
CD	0.55	0.43	0.52	0.64	0.65	0.75	0.86	0.72	0.86
Diversified	0.78	1.20	0.76	0.82	0.81	0.86	0.96	0.93	0.89
Overall	0.96	0.50	0.53	0.64	0.69	0.73	0.84	0.64	0.82