碩士 / 東海大學 / 財務金融學系碩士在職專班 / 98 / This paper investigates how Taiwan’s two offshore Hang Seng Index ETFs move with their counterparts in Hong Kong and the benchmark ETF in Taiwan and whether there exist arbitrage opportunities and relevant information across the two markets. The sample period is from August 14, 2009 to March 31, 2010. Given that the two markets belong to the same time zone but trading hours are not completely synchronized, four daily returns are first defined for each of the five ETFs, resulting in 20 time series to be analyzed. The unit-root test, Granger causality test, VAR model, and SUR model are applied to examine the effect of market information. Our findings reveal that incomplete synchronization in trading hours between Taiwan and Hong Kong influences revelation of market information and presence of arbitrage opportunities. The ETFs in Taiwan and their Hong Kong counterparts affect each other but information is reflected in the price essentially on the same day.
| Identifer | oai:union.ndltd.org:TW/098THU00304011 |
| Date | January 2010 |
| Creators | Hui-Mei Wei, 魏惠美 |
| Contributors | Chen-Jui Huang, 黃琛瑞 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 65 |
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