The effects of ex-dividend on the returns of spot and futures
| Autor: | Tsung-Ming Liu, 劉宗銘 |
|---|---|
| Rok vydání: | 2009 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 97 The aim of this research is to study whether there is an extra excess return opportunity in addition to the ex-dividend effect while dealing with futures and spots as well as to conduct an empirical analysis with two parts: the first part refers to the discussion of the relationship between the ex-dividend and the top 10 weighted stocks. Based on the empirical analysis, it is found that the ex-dividend had an adjustment effect on the top 10 weighed stocks in 2006 and 2007 but not in 2008. The second part of the analysis discusses whether Taiwan 50 Index Futures has a stock arbitrage opportunity due to the ex-dividend. According to the empirical analysis, the result shows that the ex-dividend had no impact on arbitrage in stock for Taiwan 50 Index Futures in 2006 and 2007. In 2008, although Taiwan 50 Index Futures had more hedge opportunity during the ex-dividend period, the ex-dividend still had no impact on arbitrage in stock for Taiwan 50 Index Futures because the chance of having ex-dividend adjustment was low. Further, the finding of this research indicates that the effect of ex-dividend on spots is not the same for every year. Sometimes, there is an ex-dividend adjustment effect but sometimes there is not; however, the ex-dividend almost does not bring any opportunity of arbitrage profits or arbitrage effect for the investors who trade futures and stocks at the same time. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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