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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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

id	ndltd-TW-096MCU05214031
record_format	oai_dc
spelling	ndltd-TW-096MCU052140312019-05-15T19:38:38Z http://ndltd.ncl.edu.tw/handle/n326ug Multiscale hedge ratio between the Taiwan stock and future markets: Evidence from wavelet analysis 以小波理論為基礎之最適避險比率 Chi-Han Lin 林祺函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. Chung –Jen Yang 楊重任 2008 學位論文 ; thesis 82 zh-TW
collection	NDLTD
language	zh-TW
format	Others
sources	NDLTD
description	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.
author2	Chung –Jen Yang
author_facet	Chung –Jen Yang Chi-Han Lin 林祺函
author	Chi-Han Lin 林祺函
spellingShingle	Chi-Han Lin 林祺函 Multiscale hedge ratio between the Taiwan stock and future markets: Evidence from wavelet analysis
author_sort	Chi-Han Lin
title	Multiscale hedge ratio between the Taiwan stock and future markets: Evidence from wavelet analysis
title_short	Multiscale hedge ratio between the Taiwan stock and future markets: Evidence from wavelet analysis
title_full	Multiscale hedge ratio between the Taiwan stock and future markets: Evidence from wavelet analysis
title_fullStr	Multiscale hedge ratio between the Taiwan stock and future markets: Evidence from wavelet analysis
title_full_unstemmed	Multiscale hedge ratio between the Taiwan stock and future markets: Evidence from wavelet analysis
title_sort	multiscale hedge ratio between the taiwan stock and future markets: evidence from wavelet analysis
publishDate	2008
url	http://ndltd.ncl.edu.tw/handle/n326ug
work_keys_str_mv	AT chihanlin multiscalehedgeratiobetweenthetaiwanstockandfuturemarketsevidencefromwaveletanalysis AT línqíhán multiscalehedgeratiobetweenthetaiwanstockandfuturemarketsevidencefromwaveletanalysis AT chihanlin yǐxiǎobōlǐlùnwèijīchǔzhīzuìshìbìxiǎnbǐlǜ AT línqíhán yǐxiǎobōlǐlùnwèijīchǔzhīzuìshìbìxiǎnbǐlǜ
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Multiscale hedge ratio between the Taiwan stock and future markets: Evidence from wavelet analysis

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