The impact of execution delay on the profitability of put-call-futures trading strategies—Evidence from Taiwan

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 期刊論文 > Item 987654321/72573

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題名:	The impact of execution delay on the profitability of put-call-futures trading strategies—Evidence from Taiwan
作者:	邱忠榮
貢獻者:	淡江大學財務金融學系
日期:	2007-02-13
上傳時間:	2011-10-24 10:34:09 (UTC+8)
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),　p.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

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