Wavelet-based beta estimation of China stock market

In this paper, we propose a new approach to estimating the systematic risk (beta) of China stock market. The proposed method is based on maximal overlap discrete wavelet transform (MODWT) that provides a natural platform to investigate the beta behavior at different time horizons without losing any information. The experimental results are different with conclusion from other stock market, the paper explains it from character of China stock and behavioral finance. The empirical results show that the predictions of the CAPM model are more relevant at short time horizons as compared to long.