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    Testing international arbitrage: evidence from Chinese and Australian markets

    199900_Abraham 2014.pdf (1.422Mb)
    Access Status
    Open access
    Authors
    Abraham, Santosh Mon
    Date
    2014
    Supervisor
    Prof. John L. Simpson
    Assoc. Prof. Dr Ruhul Salim
    Type
    Thesis
    Award
    PhD
    
    Metadata
    Show full item record
    School
    School of Economics and Finance
    URI
    http://hdl.handle.net/20.500.11937/1640
    Collection
    • Curtin Theses
    Abstract

    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 tests international momentum effects between Chinese Shanghai Composite Index and Australian resource stocks. The enhanced indexing strategy is more profitable than the index tracking strategy.

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