Testing international arbitrage: evidence from Chinese and Australian markets

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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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Bibliographic Details
Main Author:	Abraham, Santosh Mon
Format:	Thesis
Language:	English
Published:	Curtin University 2014
Online Access:	http://hdl.handle.net/20.500.11937/1640

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