| Summary: | 碩士 === 義守大學 === 財務金融學系碩士班 === 98 === Past empirical research on the multinational arbitrage strategies concerned with market states that did''t divide .This study investigates the difference of arbitrage strategies between common state and separate market states. This study observes seven stock markets of East Asian during the period of 1997 to 2008 and investigates the difference of arbitrage strategies and profits by using Lee and Kuo (2010) method of dividing market states. It also provides robust test by using Cooper et al. (2004) method of dividing market states. Lee and Kuo divides market states into bullish market, bearish market and range-bound market, Cooper et al. divides market states into up market and down market.
Our results find that no matter what market states it divides by using Cooper et al. or Lee and Kuo method, using contrarian strategy can earn profits under most situations in stock markets of East Asian. In addition, after taking into Cost of arbitrage strategies, the study finds individual stock markets of East Asian that have a lot difference on transaction systems and transaction cost. Take Philippines for example, the transaction cost is so high that arbitrage profits can''t over transaction cost, in other word, arbitrage strategies can''t available in Philippines after taking into Cost of arbitrage strategies. For other example, because short selling transaction just belongs to initial step in China and the sort of short selling stock is less, arbitrage strategies are limited.
|
|---|
