The Positivistic Research of the Arbitrage Strategy of the Taiwan Future Index and the Stock Index

• Main Authors: Chang Deng Chiao, 張登喬
• Other Authors: Lin Ming Yen
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/29769109490012552557

碩士 === 中國文化大學 === 國際企業管理研究所 === 91 === The major of this study is discussing the relationship between future index and spot index. By using citation of research and logical inference, there is significant interactive relationship within these two items. After finding this prominent connection between future index and spot index, the iteration between these two items is proven. This project also discusses the practical and interactive relation in each monetary tool at the same time. By means of the theory mentioned in this project, it is also proved that the interaction strongly exists between monetary tool and capital market. It is also the major source of another focus 「arbitrage」in this research. The result in project is arbitrage effect would be achieved through interaction be-tween future and spot, or operation within mix of monetary tools, and corporations of difference in market and period. Through evidence, invertors could utilize arbitrage model sufficiently if they can master information exactly. Moreover, the practical operation of arbitrage is mentioned briefly in this article and the real case is presented as view as the proof of arbitrage model.