Date of Award

5-2010

Thesis Type

Masters

Document Type

Dissertation

Divisions

Faculty of Business and Economics (formally known as Faculty of Business and Accountancy)

Institution

Universiti Malaya

Abstract

The huge and high frequency trading in foreign exchange market creates the need for an analytical method that can provide a view on the volatility. Traditional methods such as GARCH are proven to have limitations when applied to high frequency data, such as those generated in foreign exchange market.In this thesis, wavelet method is applied to high frequency data of EURO/USD, GBP/USD and YEN/USD currency pairs and of one minute resolution. The period of this behavioral study is from one hour before 1pm GMT to one hour after 1pm GMT for every Mondays from June 2008 to Dec 2008. The New York financial market opens at 1pm GMT.Past research work on foreign exchange market are not as wide and abundant as for equity market, especially where wavelet methods are used. Thus the literature review done in this thesis explores the past research works done regardless of the technique used.The results from this study help foreign exchange traders or any investors to understand the behavior of the currency pair mentioned and subsequently help to make investment or diversification decision. It is particularly important that the behavior is to be understood because in high frequency market, there will be no time to properly analyze any events or news that is introduced to the foreign exchange market.

Initial

khm

Additional Information

Dissertation (M.A.) – Faculty of Business and Economics, Universiti Malaya, 2010.

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