小波分析之臺灣股價指數現貨與期貨市場實證關係與避險比率

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Title:	小波分析之臺灣股價指數現貨與期貨市場實證關係與避險比率
Other Titles:	The empirical relationship between Taiwan stock index and futures markets and the hedge ratio using wavelet analysis
Authors:	周子方;Chou, Tzu-fan
Contributors:	淡江大學財務金融學系碩士班黃文光;Wong, Woon-kong
Keywords:	小波分析;避險比率;wavelet analysis;hedge ratio
Date:	2007
Issue Date:	2010-01-11 01:07:47 (UTC+8)
Abstract:	小波分析(wavelet analysis)在理工領域中已是一個常用的訊號處理工具，然而將小波分析運用在經濟與財金領域上卻是一個新的發展。在此篇論文中我們將小波分析應用到時間數列上，利用小波分析檢驗台灣股價指數現貨與期貨市場的領先落後關係、相關性，並估計其在不同時間規模下的避險比率，結果發現：1.台灣股價指數現貨與期貨不管在任何時間規模下，皆會出現回饋關係。2.兩市場間的相關係數會隨著投資期間的不同而改變，且相關性高。3.避險比率與避險效率也會隨著時間規模的增加而增加。4.且以小波模型與傳統OLS模型之樣本外期間避險作比較，發現小波之避險模型與傳統OLS模型不管在任何時間規模下，其避險效率皆無差異。 Wavelet analysis is a common signal process tool in many scientific fields. However, wavelet analysis is a new development in the area of economics and finance.The thesis presents applying wavelet analysis in time series.And the thesis examines the relationship between Taiwan stock index and futures markets in terms of lead-lag relationship,correlation, and the hedge ratio using wavelet analysis.Empirical results show that (1)there is a feedback relationship between Taiwan stock index and futures markets regardless of time scales.(2)wavelet correlation between two markets varies over investment horizons but remains very high, and(3)hedge ratio and the effectiveness of hedging strategies increase as the wavelet time scale increases.(4)In out-of-sample case,hedging performance comparison between the wavelet hedge ratio and conventional OLS hedge ratio indicates that both are not indifferent regardless of time scales.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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