abstract: 本文从证券市场中的信息传导,异质交易者行为以及金融科技三个方面,对于证券市场中异象因子的部分成因进行文献综述;进而,本文的实证工作结合最新文献中主流的股票横截面异象构造方法,借助东亚证券市场内相关量价信息进行摩擦因子和动量因子的构造,对于各个市场进行相关异象验证和横截面套利策略分析,为相关的学术研究和实务操作提供参考。
关键词: 动量因子,东亚证券市场,套利策略 / Dissertation/Thesis / Doctoral Dissertation Business Administration 2020
Identifer | oai:union.ndltd.org:asu.edu/item:56996 |
Date | January 2020 |
Contributors | He, Yizhou (Author), Pei, Ker-Wei (Advisor), Zhu, Ning (Advisor), Li, Feng (Committee member), Arizona State University (Publisher) |
Source Sets | Arizona State University |
Language | Chinese |
Detected Language | Unknown |
Type | Doctoral Dissertation |
Format | 107 pages |
Rights | http://rightsstatements.org/vocab/InC/1.0/ |
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