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首页> 外文期刊>African Journal of Business Management >Research on co-movement effects of conglomerate stock prices and derived investment strategies
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Research on co-movement effects of conglomerate stock prices and derived investment strategies

机译：企业集团股价联动效应及衍生投资策略研究

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This study investigated the co-movement in stock indices between Taiwan business group members to find investment arbitrage portfolios. Two investment strategies, called co-integration model and quasi-arbitrage model to arbitrage, were developed and thus allowed excess return in Taiwan capital market to be obtained.Finally, the proposed quasi-arbitrage?strategy?was compared with the?co-integration model?to identify which had the higher annual return.?The empirical results showed that the co-movement in stock indices between Taiwan business group members did exist. The predicted investment annual return of the quasi-arbitrage model was higher than that of the co-integration model. Therefore, the quasi-arbitrage model was the better investment strategy.
机译：这项研究调查了台湾业务集团成员之间的股票指数联动，以找到投资套利组合。制定了两种投资策略，称为协整模型和准套利模型进行套利，从而获得了台湾资本市场的超额收益。最后，将拟议的拟套利策略与“协整”进行了比较。实证结果表明，台湾业务集团成员之间确实存在股票指数的共同变动。拟套利模型的预测投资年收益率高于协整模型。因此，准套利模型是较好的投资策略。

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