A Study of Spread Trading Strategies via Moving Average and Cointegration Approaches on Taiwan’s Stock Index Futures
Date Issued
2008
Date
2008
Author(s)
Chu, Siou-Wun
Abstract
This thesis examines the effectiveness and the profits associated with spread trading via moving average and cointegration approaches on Taiwan’s Stock Index Futures.n contrast with the concurrent papers, which focus on two differet markets and underlying index futures, this study establishes three underlying index futures with different contract sizes. he result shows that both of the approaches help gain excess returns. Moreover, Cointegration approach appears to out-perform moving average approach
Subjects
Spread Trading
Cointegration Approach
Moving Average Approach
Type
thesis
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ntu-97-R94724005-1.pdf
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