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Browsing by Author "Ye, George"
Now showing items 1-18 of 18
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(Halifax, N.S. : Saint Mary's University, 2012)The purpose of this study is to test whether arbitrage opportunities exist in Chinese stock-index (CSI 300) futures market and whether arbitrage opportunities is related to futures duration. Stock-index futures were ...
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(Halifax, N.S. : Saint Mary's University, 2015)Based on the cost of carry model for futures pricing, this paper discussed the arbitrage-free interval in China spot-futures arbitrage trading market. The cases we analyze are the arbitrage between CSI 300 futures contract ...
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(Halifax, N.S. : Saint Mary's University, 2013)The objective of this study is to investigate the pricing efficiency for HSI and Mini-HSI futures and options contracts, this will assist investors to avoid the volatility of the market, reduce the risk from the spot market, ...
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(Atlantic Schools of Business, 2011)The paper examines the forecasting ability of the U.S. stock performance to predict the direction of the Chinese stock price movement at the opening, and vice verse. It shows that since the recent global financial crisis, ...
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(Halifax, N.S. : Saint Mary's University, 2013)The paper seeks to explain and analyze the reaction of index option price to implied volatility in the Canada option market and to test the market efficiency based on the data between January 2011 and June 2011. The objective ...
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(Atlantic Schools of Business, 2013)In portfolio management, the means and variances of stock returns are usually estimated on a daily basis and then converted to longer periods of time. This paper examines the issue of how to convert 1-day means for longer ...
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(Halifax, N.S. : Saint Mary's University, 2014)This paper tests how the US dollar index affects global gold prices. The data on US dollar index and gold prices was collected from the period 1995 to 2014. To examine how the US dollar affects the gold prices, this paper ...
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(Halifax, N.S. : Saint Mary's University, 2014)This paper researches the correlation between mergers and acquisitions (M&A) and their impact on the futures prices of gold, silver crude oil and natural gas in the following period. I concentrate on the activities that ...
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(Halifax, N.S. : Saint Mary's University, 2014)This paper describes the relationship between gold futures and gold stocks with the data from the Hong Kong market and its change before and after the U.S subprime mortgage crisis, and after October 2, 2013, when NYSE Arca ...
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(Halifax, N.S. : Saint Mary's University, 2012)This paper analyzes the relationship betweensilver price, gold price and U.S. dollar index and its change before and after the U.S. subprime mortgage crisis,especially focusing on the dynamics of silver price. The data ...
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(Halifax, N.S. : Saint Mary's University, 2014)This paper mainly illustrates a risk and return framework to compares the relative performance of S&P500 index options strategies. I use net raw returns to obtain the average daily return and standard deviation for each ...
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(Halifax, N.S. : Saint Mary's University, 2013)This paper tests the risk premium on crude oil future prices in the US market. The history data on five crude oil spot prices and one crude oil future are collected through the period 2011 to 2013. To examine the risk ...
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(Halifax, N.S. : Saint Mary's University, 2015)This article introduces Shanghai gold futures and describes an in-depth analysis of the risk characteristics of the Shanghai gold futures market. By investigating the Shanghai gold futures price risk, this paper introduces ...
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(Halifax, N.S. : Saint Mary's University, 2013)Capital Asset Pricing Model (CAPM) developed by Sharpe, Linter and Mossin is an important milestone in the development of modern finance theory. For China's stock market, an emerging capital market, whether Capital Asset ...
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(Halifax, N.S. : Saint Mary's University, 2015)This paper firstly aims to investigate how certain essential financial indicators, such as P/E ratio, P/B ratio, earning per share (EPS), and book value per share (BVPS) are associated with the Chinese stocks’ performance ...
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(Halifax, N.S. : Saint Mary's University, 2012)The main idea of this paper is to test whether there is arbitrage opportunity in Canadian index option market. This paper uses the put-call parity relationship to do the test. In order to make the test more logical, ...
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(Halifax, N.S. : Saint Mary's University, 2013)The main idea of this paper is to test whether there is arbitrage opportunity in Hong Kong index options market. This paper uses the put-call parity relationship and the box spread strategy to do the test. In order to make ...
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(Halifax, N.S. : Saint Mary's University, 2012)The purpose of this paper is to examine the prediction model developed by Bhuyan and Chaudhury (2001) on forecasting future stock index values with the data from India market. The sample pool including option and index ...
Now showing items 1-18 of 18