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...
| Main Author: | |
|---|---|
| Format: | Thesis |
| Language: | English |
| Published: |
Curtin University
2014
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| Online Access: | http://hdl.handle.net/20.500.11937/1640 |
| _version_ | 1848743725673480192 |
|---|---|
| author | Abraham, Santosh Mon |
| author_facet | Abraham, Santosh Mon |
| author_sort | Abraham, Santosh Mon |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 tests international momentum effects between Chinese Shanghai Composite Index and Australian resource stocks. The enhanced indexing strategy is more profitable than the index tracking strategy. |
| first_indexed | 2025-11-14T05:50:08Z |
| format | Thesis |
| id | curtin-20.500.11937-1640 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T05:50:08Z |
| publishDate | 2014 |
| publisher | Curtin University |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-16402017-02-20T06:38:09Z Testing international arbitrage: evidence from Chinese and Australian markets Abraham, Santosh Mon 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 tests international momentum effects between Chinese Shanghai Composite Index and Australian resource stocks. The enhanced indexing strategy is more profitable than the index tracking strategy. 2014 Thesis http://hdl.handle.net/20.500.11937/1640 en Curtin University fulltext |
| spellingShingle | Abraham, Santosh Mon Testing international arbitrage: evidence from Chinese and Australian markets |
| title | Testing international arbitrage: evidence from Chinese and Australian markets |
| title_full | Testing international arbitrage: evidence from Chinese and Australian markets |
| title_fullStr | Testing international arbitrage: evidence from Chinese and Australian markets |
| title_full_unstemmed | Testing international arbitrage: evidence from Chinese and Australian markets |
| title_short | Testing international arbitrage: evidence from Chinese and Australian markets |
| title_sort | testing international arbitrage: evidence from chinese and australian markets |
| url | http://hdl.handle.net/20.500.11937/1640 |