کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
967569 | 931348 | 2006 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Multiscale hedge ratio between the Australian stock and futures markets: Evidence from wavelet analysis
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper examines the relationship between the Australian stock and futures markets over various time horizons. In contrast to methods employed in previous studies, wavelet analysis allows us to decompose data into various time scales. Using this technique and the Hurst exponent, we find that the Australian stock and futures markets are antipersistent. The wavelet correlation between the two markets varies over investment horizons, but remains very high. Furthermore, the magnitude of the correlation increases as the time scale increases, indicating that the stock market and the futures market of the All Ordinaries Index are found to be not fundamentally different. The hedge ratio increases as the wavelet time scale increases. In addition, the effectiveness of hedging strategies initially increases with the hedging horizon.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multinational Financial Management - Volume 16, Issue 4, October 2006, Pages 411-423
Journal: Journal of Multinational Financial Management - Volume 16, Issue 4, October 2006, Pages 411-423
نویسندگان
Francis In, Sangbae Kim,