【摘要】 本文运用极大交迭离散小波变换对新加坡新华富时A50股指期货合约原始数据进行逐尺度分解,在不同时间尺度下以半方差最小化为套期保值目标对最优套期保值率进行估计,并与最小小波方差套期保值率进行比较。实证结果表明随着时间刻度的增加,期现货收益率间的相关性及套期保值率均相应递增;以半方差作为套期保值目标可以使套期保值组合获得更好的超额收益性质,并且随着套期保值期限长度的增加,超额收益性质的相对表现更为优良。更多还原

【Abstract】 This paper decomposes original data involved in Singapore Xinhua/FTSE A50 stock index futures contract on scale-by-scale basis with maximum overlap discrete wavelet transformation.Optimal hedge ratio is estimated under different time scales by taking minimum semivariance as hedge target.In comparison with minimum wavelet variance hedge ratio under each scale,the empirical result indicates that hedge ratio and correlation of the rate of return between futures and spot go higher along with time scale.Taking semivariance as hedge target can lead to a better excess return on hedge portfolio.The longer the length of time horizon is,the more excellently the excess return performs.更多还原