The influence of 2008 financial crisis on the arbitrage opportunities of Taifex

The influence of 2008 financial crisis on the arbitrage opportunities of Taifex

碩士 === 明新科技大學 === 企業管理研究所 === 98 === Abstract This study investigates the market efficiency of Taifex during the period of 2008 financial crisis. Based on the put-call-futures parity, we analyze the arbitrage opportunities and profits between the future and option markets by both ex post and ex an...

Full description

Bibliographic Details
Main Authors:	YU,WAN-JU, 余宛儒
Other Authors:	LING,SHU-YING
Format:	Others
Language:	zh-TW
Published:	2010
Online Access:	http://ndltd.ncl.edu.tw/handle/23184528367208471155

Similar Items

The Arbitrage Opportunities and Strategies of Index Options-The Case of TAIFEX Index Options
by: Ming-Hsiang Weng, et al.
Published: (2005)

Research on Intertemporal Near-Arbitrage for TAIFEX Futures and Options
by: Chih-Sung Lee, et al.
Published: (2007)

The Correlation between KOSPI Opening and TAIFEX Futures Arbitrage Research
by: Chien-Cheng Peng, et al.
Published: (2011)

Arbitrage Strategy of TAIFEX's Bond Futures - A Case of Basis Trading
by: CHEN CHUN-HUNG, et al.
Published: (2005)

An Empirical Study of Spread Trading and Arbitrage Strategy for TAIFEX Stock Index Futures
by: Yi-yiao Chiu, et al.
Published: (2004)

An Empirical Study of Arbitrage Strategies on Stock Price Index Futures for TAIFEX in Taiwan
by: Alpha Shun-Fa Hsu., et al.
Published: (1999)

A study of arbitrage efficiency between the TAIFEX index futures and options contracts
by: Jia-haur Tzeng, et al.
Published: (2008)

Basis rate, arbitrage rules, and stock characteristics: For Example of SIMEX MSCI Taiwan and TAIFEX
by: Ya-Ping Hsu, et al.
Published: (2005)

Studying Arbitrage and Spread Trading StrategiesBased on TAIFEX Option VIX Index Composing
by: Wen-Chung Yang, et al.
Published: (2006)

The Impact of Volumes on Stock Index Futures Price and Arbitrage Performance－Empirical Evidence from TAIFEX
by: 宣力宇
Published: (2001)

The Black-Scholes type financial models and the arbitrage opportunities
by: Nikolay Sukhomlin
Published: (2009-02-01)

The Influence of 2008 Global Financial Crisis in Taiwan International Trade and its Financial Risks
by: Hsiang-Lan Yu, et al.
Published: (2010)

A Study on Index Arbitrage during the Asian Financial Crisis
by: Yi-Cheng Li, et al.
Published: (2008)

The Effects of Initiation of the Weekly TAIFEX Options on the Original TAIFEX Options
by: Chien-hsien Huang, et al.
Published: (2014)

A study of arbitrage for the Put-call-futures parity:The arbitrage strategy of the higher exercise price of call option and the lower exercise price of put option between TAIFEX options and futures
by: Chien-Yuan Lien, et al.
Published: (2005)

Option Volatility & Arbitrage Opportunities
by: Boffetti, Mikael
Published: (2016)

Does It Exist Arbitrage Opportunities over CB Issuing Period?
by: Wan-Yu Chiu, et al.
Published: (2008)

IDENTIFYING ARBITRAGE OPPORTUNITIES ON SIBEX MARKET
by: Maria-Miruna POCHEA, et al.
Published: (2012-11-01)

Computerization of arbitrage opportunities: research report.
Published: (1980)

The Research of the Institutional Investors’ TAIFEX Index Open Interests and ETF Order Imbalance on TAIFEX Momentum Strategies
by: LIAO, FENG-YU, et al.
Published: (2018)

The influence of 2008 financial crisis on the behavior of foreign investors
by: 巫駿宥
Published: (2010)

The Study on the Expiration Effects of TAIFEX
by: Fu-Jie Jhuang, et al.
Published: (2010)

No-Arbitrage Bounds for Financial Scenarios
by: Geyer, Alois, et al.
Published: (2014)

A Study of Spread Arbitrage Strategies on Intermarket With Forward Contracts For Interest Rate －TAIFEX TAIEX Index Futures & SIMEX MSCI Taiwan Index Futures
by: Hsin-Kun Tsai, et al.
Published: (2000)

Arbitrage Opportunities of TAIMEX Stock Index Futures
by: Weng-Hung Yao, et al.
Published: (1999)

The Determinants of Arbitrage Opportunity in TSE Index Options
by: Hung, Shao-Hsun, et al.
Published: (2013)

Stock Market Reaction and Arbitrage Opportunity around Merger Acquisition of the Subsidiaries of Financial Holding Company: Evidences from Taiwan
by: Wan-Ting Yeh, et al.
Published: (2003)

Applying Artificial Neural Networks in financial Market analysis by the Open Interest of TAIFEX
by: Luo, Kuo-Hua, et al.

Investment Strategy Considering the Existence of Arbitrage Opportunity
by: Yi-Zhen Chen, et al.
Published: (2006)

A Research about Implied Volatilities Function of Index Options Listed on Taifex
by: Chi-Ta Yu, et al.
Published: (2010)

The Trends in Trading Activity of Futures-Evidence from the TAIFEX
by: Wan-Ru Fu, et al.
Published: (2012)

The TAIFEX Futures tax come down and the Price Discovery - Evidence from TAIFEX vs SGX-DT
by: Lo,Hsin-Chi, et al.
Published: (2008)

enlightenment and the financial crisis of 2008
Published: ()

The Financial Regulatory Reform Post the 2008 Financial Crisis
by: YU, PEI-TZU, et al.
Published: (2018)

The Influence of the 2008 Financial Crisis on Domestic Bank Risks and Performances
by: Zhao, Shu-Juan, et al.
Published: (2019)

The Practice of Financial Arbitrage Models in Taiwan
by: HUANG YI KUAN, et al.
Published: (2002)

Prediction of Taifex based on 120-M candlestick
by: KAI-YU CHUANG, et al.
Published: (2010)

The Efficiency Analysis of TAIFEX Single Stock Futures
by: CHEN,YU-CHEN, et al.
Published: (2019)

The Performance of Pullback and Bounceback Reversal Strategy in TAIFEX
by: JHANG,YU-WEI, et al.
Published: (2017)

Application of Pattern Mining to Day-Trading in TAIFEX
by: Yu-jhang Su, et al.
Published: (2015)