期刊論文
學年 | 95 |
---|---|
學期 | 2 |
出版(發表)日期 | 2007-02-13 |
作品名稱 | The impact of execution delay on the profitability of put-call-futures trading strategies—Evidence from Taiwan |
作品名稱(其他語言) | |
著者 | 邱忠榮 |
單位 | 淡江大學財務金融學系 |
出版者 | |
著錄名稱、卷期、頁數 | Journal of Futures Markets 27(4), p.361-385 |
摘要 | This study examines the impact of execution delay on the profitability of put-call-futures quasi-arbitrage strategies using trade and quote data in the Taiwanese market. Assuming order execution at the next immediate price following a mispricing signal, the execution of individual components is traced and a substantial delay resulting from the late execution of an option is reported. A fill-or-kill strategy that directly restricts such a delay is unsatisfactory because unwinding already acquired positions involves added transaction costs. Ex ante performance is significantly improved for combined strategies that execute the less liquid asset first, while shortening the time before acquisition of the first position. |
關鍵字 | |
語言 | en |
ISSN | 1096-9934 |
期刊性質 | 國內 |
收錄於 | |
產學合作 | |
通訊作者 | |
審稿制度 | 否 |
國別 | TWN |
公開徵稿 | |
出版型式 | ,電子版 |
相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/72573 ) |