The arbitrage strategies and performance of Taiwan ETF

• Main Authors: Chen,Chieh-Ho, 陳建合
• Other Authors: Lin,Yu-Hsiu
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/69323654974005458252

碩士 === 國立高雄應用科技大學 === 金融系金融資訊碩士班 === 105 === Arbitrage is a by corresponding commodity prices between profit opportunities resulting from the inefficiency of trading methods, but the premise to the default for the same product or different products but must be highly trade-off between alternatives. The underpricing of basic trading strategy is to buy goods, price and sell goods. This study explore the Taiwan market index issued stock gold (ETF) the relationship between whether can as an alternative to high substitute, for arbitrage opportunities, The data are collected from January 1, 2015 to December 31, 2015 days for empirical research. Using correlation coefficient and single screening test, cointegration test, and then select five groups has a high degree of correlation between ETF arbitrage, empirical found by combination of screening indeed can produce positive performance