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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/85932
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/85932


    Title: 摩根台股指數期貨套利策略之研究
    Arbitrage Strategies of MSCI Taiwan`s Stock Index Futures
    Authors: 繆文娟
    Miao, Wen-Chuan
    Contributors: 顏錫銘
    Yen,S.H.
    繆文娟
    Miao,Wen-Chuan
    Keywords: 套利
    期貨
    台股指數
    Arbitrage
    Futures
    Stock Index
    Date: 1998
    Issue Date: 2016-04-21 17:06:13 (UTC+8)
    Abstract: 本研究鑑於八十六年一月上市的摩根台股指數期貨,市場價格與理論價格發生頗大幅度的乖離,故以日成交量資料綜觀此市場實際狀況後,擷取最近月和部份次近月的五分鐘資料進行實證研究。
    This paper is induced by the serious mispricing of MSCI Taiwan index futures,listed in January 1997. The empirical evidence is based on five minutes intraday data of nearby and far nearest futures contracts.
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    Description: 碩士
    國立政治大學
    財務管理研究所
    85357011
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002001503
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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