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Title:	SIMEX摩根台股指數期貨與期貨選擇權日內定價效率性之研究
Authors:	林萬里 Lin, Money W.L.
Contributors:	顏錫銘;黃國誠林萬里 Lin, Money W.L.
Keywords:	期貨選擇權摩根台股指數定價效率性套利 SIMEX future option arbitrage pricing efficiency MSCI
Date:	1998
Issue Date:	2016-04-20 16:47:05 (UTC+8)
Abstract:	本篇研究利用期貨與買賣權平價模式，考慮持有成本後，針對每一筆樣本，建立其無套利區間的上下限，並將投資人分類為自然人與法人，分析兩者在SIMEX台股期貨與期貨選擇權市場中，使用持有到期買進與賣空套利策略之獲利情形，以分析SIMEX台股指數期貨與期貨選擇權市場兩者間之日內定價效率性。研究期間從摩根台股指數期貨在1997年1月到1998年12月底為止共兩年期間，利用事後檢定(假設馬上成交)與事前檢定(假設交易有時間落差)兩種方法，將期貨與選擇權買賣權三種商品在1分鐘以內配合者，作為研究之樣本。結論如下：
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Description:	碩士國立政治大學企業管理學系 86355038
Source URI:	http://thesis.lib.nccu.edu.tw/record/#B2002001355
Data Type:	thesis
Appears in Collections:	[Department of Business Administation] Theses

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