Research on co-movement effects of conglomerate stock prices and derived investment strategies.

Abstract


Hsiao-Fen Hsiao, Szu-Hsien Lin* and Ai-Chi Hsu

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.

Share this article

Awards Nomination

Select your language of interest to view the total content in your interested language

Indexed In
  • Index Copernicus
  • Sherpa Romeo
  • Open J Gate
  • Academic Keys
  • CiteFactor
  • Electronic Journals Library
  • OCLC- WorldCat
  • Eurasian Scientific Journal Index
  • Rootindexing
  • Academic Resource Index