Stationarity is an essential property to portfolio return in the past statistical arbitrage strategy, this article uses Neo-75 rule, momentum effect, properties as independent and identically distribution and stationarity in error term, in one asset and in the very short holding period. The result in out sample period owning positive cumulative return.
The finding suggests individual investors use this strategy in higher efficiency market to avoid invalidation in our model.
This article surveyed CAC40, DJI, HangSeng, NASDAQ, Nikkei225, Shanghai and TWII indices. All the excess returns in out sample periods indicate they are exclude weak form of efficient market.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0623112-165852 |
| Date | 23 June 2012 |
| Creators | Kan, Yi-Li |
| Contributors | Kuo,Hsioujen, Wang, Chou-Wen, Lee,Chien-Chiang, Huang,Jen-Jsung |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0623112-165852 |
| Rights | user_define, Copyright information available at source archive |
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