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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/23747


    Title: The impact of execution delay on the profitability of put-call-futures trading strategies – evidence from Taiwan
    Authors: 邱忠榮;Chiou, J. R.;謝文良;Hsieh, Wen-liang;林苑宜;Lin, Yuan-yi
    Contributors: 淡江大學財務金融學系
    Date: 2007-04-01
    Issue Date: 2009-11-30 17:51:48 (UTC+8)
    Publisher: John Wiley & Sons
    Abstract: 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.
    Relation: Journal of Futures Markets 27(4), pp.361-385
    DOI: 10.1002/fut.20245
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article
    [Graduate Institute & Department of Banking and Finance] Journal Article

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