A study of arbitrage efficiency between the TAIFEX index futures and options contracts
碩士 === 國立中央大學 === 經濟學研究所 === 97 === The aim of this paper is to examine the variation of arbitrage efficiency using trade data in the Taiwanese market. Assuming order execution at the next immediate price following a mispricing signal, the execution of individual components is traced and the execut...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/6aef4v |