期刊名称：International Journal of Economics and Empirical Research (IJEER)
印刷版ISSN：2311-3871
电子版ISSN：2310-5232
出版年度：2015
卷号：3
期号：12
页码：605-615
出版社：The Economics and Social Development Organization (TESDO)
摘要：Purpose: This study utilizes the wavelet approach namely Maximal Overlap Discrete Wavelet Transform (MODWT) to examine the multiscale risk-return relationship for Pakistan stock market. Methodology: The method enables scale-by-scale analysis of CAPM validity and heterogeneous market expectations. Findings: Our sample consists of 117 firms listed at Karachi stock exchange for the period January 1, 2006 to December 31, 2013. The empirical findings show that the riskreturn relationship is linear at higher (16-128 days) scales and average daily market risk premium is 23.8%. Recommendations: The study, consistent with literature, concludes that systematic risk is a multiscale phenomenon.
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