Benefits of wavelet-based carry trade diversification

被引：4
|
作者：
Orlov, Vitaly [1 ]
Aijo, Janne [1 ]
机构：
[1] Univ Vaasa, Dept Accounting & Finance, POB 700, FI-65101 Vaasa, Finland
来源：
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2015年 / 34卷
关键词：
Carry trade; Wavelet analysis; Carry trade diversification; Financial crisis;
D O I：
10.1016/j.ribaf.2014.11.002
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study investigates carry trade diversification opportunities and linkages of major carry trade currencies on five different investment horizons. Using daily data on eight currencies and LIBOR rates, we examine the temporal structure of correlations and assess portfolio diversification benefits with wavelet techniques. Our results indicate that positive and economically significant carry trade excess returns are observed on all investigated investment horizons. We document that strategies built on the basis of wavelet correlation lead to significant diversification benefits. These findings indicate the importance of the dynamic structure of exchange rate correlations to currency arbitrage strategies. (C) 2014 Elsevier B.V. All rights reserved.
引用
收藏
页码：17 / 32
页数：16
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