An Empirical Study of Basis Arbitrage on Stock Index Futures
碩士 === 銘傳大學 === 財務金融學系 === 86 === Most of previous empirical studies of index futures arbitrage emphasized on "cost-of carry model", which serves futures mispricing as a principle of arbitrage . Generally, theoretical futures prices should be higher than spot prices, and there are more...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
1998
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| Online Access: | http://ndltd.ncl.edu.tw/handle/97987706479794885820 |