Multiscale hedge ratio between the Taiwan stock and future markets: Evidence from wavelet analysis

碩士 === 銘傳大學 === 財務金融學系碩士班 === 96 === The purpose of this paper is to investigate effectiveness in TAIEX spot market by applying TAIFEX. In contrast to methods employed in previous studies, wavelet analysis allows us to decompose data into various time scales. Using this technique, we found that the...

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Bibliographic Details
Main Authors: Chi-Han Lin, 林祺函
Other Authors: Chung –Jen Yang
Format: Others
Language:zh-TW
Published: 2008
Online Access:http://ndltd.ncl.edu.tw/handle/n326ug
Description
Summary:碩士 === 銘傳大學 === 財務金融學系碩士班 === 96 === The purpose of this paper is to investigate effectiveness in TAIEX spot market by applying TAIFEX. In contrast to methods employed in previous studies, wavelet analysis allows us to decompose data into various time scales. Using this technique, we found that the wavelet variance of the two markets decrease over investment horizon, but the wavelet correlation increase over investment horizon. Furthermore, the hedge ratio increases while hedge effectiveness increases as time scale increases. In addition, the hedge effectiveness of wavelet is the best compared with OLS, OLS-CI, and BGARCH model.