This study examined the relationship between portfolio return volatility and the volatility of stock returns using
wavelet analysis on the Tehran Stock Exchange The data for this study from 58 companies member of the
Tehran Stock Exchange, the pharmaceutical, food and automotive cluster sampling method in the period 2008-
2013 using the Novin software, Tadbir Pardaz software, and stock sites such as www.rdis.ir, through calculating
portfolio return volatility and the volatility of stock returns have been collected , and Using wavelet analysis
tools in MATLAB software was evaluated. .The results show that, in the short and medium term than long-term
relationship between stock returns and the level portfolio return is so severe that the stock market in the short and
medium term is more efficient than in the long run.
کلید واژگان :
portfolio returns volatility, stock return volatility, wavelet, time scale, the Stock Exchange
