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Please use this identifier to cite or link to this item: http://ir.ncue.edu.tw/ir/handle/987654321/17074

Title: Return and Volatility Contagions of Financial Markets over Different Time Scales
Authors: Huang, Shian-Chang
Contributors: 企業管理學系
Keywords: Wavelet analysis;Multivariate GARCH model;Financial contagion;Multiple time scales
Date: 2010-08
Issue Date: 2013-07-11T09:04:32Z
Publisher: EuroJournals Publishing, Inc.
Abstract: This paper proposes a wavelet-based multivariate GARCH model to investigate the return and volatility contagions over financial markets. Compared with traditional multivariate GARCH analysis, the new method can identify detailed market dynamics over each time scale. Taking the NASDAQ and TWSI (Taiwan) indices as an illustration, this study shows that on the raw data (or on the aggregated level) the lagged NASDAQ returns have a great predictive power on Taiwan's stock index, but on the wavelet-based analysis the aggregated predictive power is unequally divided over time scales. The volatility contagion significantly depends on the time scales. Owing to the fact that different groups of investors operate (or trade) on different time scales, the results of this study help them to uncover the dynamics and causal relationships of their horizons and make a good hedge on their risk.
Relation: International Research Journal of Finance and Economics, 42: 140-148
Appears in Collections:[企業管理學系] 期刊論文

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