Preprint Article Version 1 Preserved in Portico This version is not peer-reviewed

The Systematic Risk at the Crisis - A Multifractal Non-uniform Wavelet Systematic Risk Estimation

Version 1 : Received: 18 August 2021 / Approved: 20 August 2021 / Online: 20 August 2021 (12:43:26 CEST)

How to cite: Sarraj, M.; BEN MABROUK, A. The Systematic Risk at the Crisis - A Multifractal Non-uniform Wavelet Systematic Risk Estimation. Preprints 2021, 2021080414 (doi: 10.20944/preprints202108.0414.v1). Sarraj, M.; BEN MABROUK, A. The Systematic Risk at the Crisis - A Multifractal Non-uniform Wavelet Systematic Risk Estimation. Preprints 2021, 2021080414 (doi: 10.20944/preprints202108.0414.v1).

Abstract

The Capital Asset Pricing Model is a widely applied model to describe risky markets and to deduce their systematic risk. Its estimation, therefore, remains an important task in Econo-financial studies. Empirically, it focuses on the impact of return interval on the betas. Existing studies somehow turn around the same idea of measuring the value of the beta according to the uniform intervals of time during a fixed period. However, it is noticed easily, and especially in the last decade that many factors such as socio-political, and Econo-environmental ones have led to a perturbation in the timeline of the worldwide development, and especially in countries and regions having political changes. This led us to introduce a new idea of risk estimation taking into account the non-uniform changes in markets by introducing a non-uniform wavelet analysis. We aim to explain the Econo-political situation of Arab spring countries and the effect of the revolutions on the market beta. The main novelty is firstly the construction of a dynamic backward-forward model for missing data, and next the application of random non-uniform wavelets. The proposed procedure will be acted empirically on a sample corresponding to TUNINDEX stock as a representative index of the Tunisian market actively traded over the period January 14, 2016, to January 13, 2021. The chosen 5-years period is important as it constitutes the first 5-years-after the revolution and depends strongly on the Socio-Econo-political stability in the revolutionary countries.

Keywords

avelets; Non-uniform wavelets; CAPM; Wavelets CAPM; systematic (market) risk; scaling; Arab spring revolutions.

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