Arbitrage Investigation of the Taiwan Stock Index Futures
碩士 === 國立臺灣大學 === 國際企業學研究所 === 87 === This study uses daily closing prices and every 5 minutes intraday data of spot index and futures prices to examine the arbitrage condition for Taiwan Stock Exchange Capital Weighted Index Futures (TAIEX Futures). The basic cost-of-carry model is adapted to incor...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
1999
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| Online Access: | http://ndltd.ncl.edu.tw/handle/31649444198500636872 |