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    請使用永久網址來引用或連結此文件: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/23747

    題名: The impact of execution delay on the profitability of put-call-futures trading strategies – evidence from Taiwan
    作者: 邱忠榮;Chiou, J. R.;謝文良;Hsieh, Wen-liang;林苑宜;Lin, Yuan-yi
    貢獻者: 淡江大學財務金融學系
    日期: 2007-04
    上傳時間: 2009-11-30 17:51:48 (UTC+8)
    出版者: John Wiley & Sons
    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.
    關聯: Journal of Futures Markets 27(4), pp.361-385
    DOI: 10.1002/fut.20245
    顯示於類別:[財務金融學系暨研究所] 期刊論文
    [財務金融學系暨研究所] 期刊論文


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