تحقیقات جهانی بازار بورس

Pricing assets with higher moments: Evidence from the Australian and us stock markets

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.

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