Testing international arbitrage: evidence from Chinese and Australian markets
This paper studies two contrarian strategy; one based on the Law of One Price and another based on the Markov switching strategy. The stock pairs are identified using a new derivation of the partial adjustment model. The Markov strategy is more profitable than the LOP strategy. This paper also te...
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| Format: | Thesis |
| Language: | English |
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Curtin University
2014
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| Online Access: | http://hdl.handle.net/20.500.11937/1640 |