An Empirical Study of Spread Trading and Arbitrage Strategy for TAIFEX Stock Index Futures
碩士 === 國立高雄第一科技大學 === 財務管理所 === 92 === This paper examines the spread trading profitability for three domestic futures contract based on the cost of carry model, and tests the put-call futures parity theory proposed by Tucker (1991), to investigates whether the investors could gain excess profits us...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/10065548145125447752 |