Description
本文从证券市场中的信息传导，异质交易者行为以及金融科技三个方面，对于证券市场中异象因子的部分成因进行文献综述；进而，本文的实证工作结合最新文献中主流的股票横截面异象构造方法，借助东亚证券市场内相关量价信息进行摩擦因子和动量因子的构造，对于各个市场进行相关异象验证和横截面套利策略分析，为相关的学术研究和实务操作提供参考。关键词: 动量因子，东亚证券市场，套利策略
Details
Contributors
- He, Yizhou (Author)
- Pei, Ker-Wei (Thesis advisor)
- Zhu, Ning (Thesis advisor)
- Li, Feng (Committee member)
- Arizona State University (Publisher)
Date Created
The date the item was original created (prior to any relationship with the ASU Digital Repositories.)
2020
Topical Subject
Resource Type
Language
- chi
Note
- Doctoral Dissertation Business Administration 2020