Multi-scale Hedge Ratio between the TAIFEX Taiwan Stock Index Futures and TSE Stock Index: An Application of Wavelet Analysis
碩士 === 國立交通大學 === 管理科學系所 === 95 === This objective of this study is to examine the relationship between the stock and futures markets in terms of lead-lag relationship, correlation, and the hedge ratio using wavelet analysis. We obtain 1,510 observations, from January 2000 to December 2005, from th...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2007
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/17501482300124999857 |