Multi-horizon Market Timing Ability Based on Wavelet Analysis and Empirical Study
Ye Liu · Yunchou yu guanli · 2010
This paper calculates the scale mean and wavelet variance by using wavelet transformation to returns series of funds.Also multi-scale is calculated by introducing wavelet analysis method to Capital Asset Pricing Model.Further,Multi-horizon H-M model is acquired by introducing wavelet analysis to the traditional H-M model,using multi-scale of wavelet function to match the multi-horizon.Then multi-horizon evaluation model of market timing ability is created.Based on the background of domestic economy,fourteen open-ended funds are chosen to do the empirical study.The empirical result shows that the introduction of wavelet analysis can be effective in evaluating multi-horizon market timing ability of open-ended funds.