Arbitrage Trading in Taiwan Finance and Electronic Sector Index Futures–The Analysis of Momentum Strategy and Vince’s Model
碩士 === 東吳大學 === 經濟學系 === 104 === The paper is to analyze the performance of the arbitrage portfolio constructed by Finance Sector and Electronic Sector Index Futures listed in Taifex over 2001-2015. We first adopt the cash management model proposed by Vince (2007, 2009), which allows us to estimate...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/r9ynv5 |