In this study we examine the notion of applicability of
cointegration statistical arbitrage in Taiwan stock, electronic and financial index future. We form the trading pairs by construction the cointegration relation pairs in the same industry and the same type of business. The basic concept we applied in this way is that market neutral, and contrarian investment. We execute three different kind of
pairs. They are individual stock vs. stock pairs, Finance Sector Index Futures and financial stocks, and Electronic and Finance Sector Index Futures vs. Electronic and Financial stock portfolio. The results from the three different kind of combination are all showing the feasibility.
of our statistical model.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0094351037 |
| Creators | 楊傑翔 |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 英文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
Page generated in 0.0022 seconds