基差率、套利法則暨股性特徵：以SIMEX與TAIFEX為例

Basis rate, arbitrage rules, and stock characteristics: For Example of SIMEX MSCI Taiwan and TAIFEX

許雅萍(Ya-Ping Hsu)

指導教授 ： 李又剛

淡江大學/商學院/國際貿易學系國際企業學碩士班/碩士(2005年)

https://doi.org/10.6846/TKU.2005.00877

摘要

本篇摘要未授權

關鍵字

套利法則 ； 股性特徵 ； 股價指數

並列摘要

This abstract would not be displayed due to no authorization.

並列關鍵字

arbitrage rules ； stock characteristics ； stock price index

參考文獻

Balvers, R.J., T.F. Cosimano and B. McDonald. (1990), "Predicting Stock Returns in an Efficient Market", Journal of Finance, Vol.45, No.4, P.1109~1129.

Blume, M.E. and I. Friend. (1975), "The Asset Structure of Individual Portfolios and Some Implication for Utility Functions", Journal of Finance, Vol.30, No.2, P.585~603.

Breeden, D.T. (1979), "An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities", Journal of Financial Economics, Vol.7, P.265~296.

Von-Neumann, J. and O. Morgenstern. (1944), "Theory of Games and Economic Behavior", New York: John Wiley and Sons, Inc.

李又剛與丁誌魰（1988），「探討一九八七年中、美、日、港四國股市的表現」，台北市銀月刊，第十九卷，第七期，頁8~26。