An Empirical Study of Index Arbitrage Profitability in Taiwan Futures Market: A Portfolio Theory Approach
碩士 === 國立成功大學 === 會計學系 === 87 === Abstract This paper applies Markowitz''s "Mean-Variance" methodology to construct a portfolio mimicking the TSE (Taiwan Stock Exchange) Capital Weighted Index. Five-minute tick-by-tick data is used to detect the frequencies of arbitra...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
1999
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| Online Access: | http://ndltd.ncl.edu.tw/handle/44329771843518697830 |