標題: Pair-trading profitability and short-selling restriction: Evidence from the Taiwan stock market
作者: Wang, Jai-Jen
Lee, Jin-Ping
Zhao, Yang
資訊管理與財務金融系 註:原資管所+財金所
Department of Information Management and Finance
關鍵字: Pair trading;FTSE TWSE Taiwan 50 index;Distance filter;Frequency filter;Short-selling restriction
公開日期: 1-May-2018
摘要: This paper examines the profitability of a pair-trading strategy in the Taiwan stock market while considering alternative frequency-distance filters, thresholds for opening a pair trade relationship, reinvestment mechanisms, different lengths of trading period, industry boundary, and the short selling restriction. In contrast with the recent literature showing that pair-trading strategy returns are insignificant and negative in the Taiwan stock market, we find that the profitabilities of pair trades developed by positions in the Taiwan 50 Index during 1990/1-2016/3 present significant annualized mean returns of 1.84%-3.04%. Moreover, thresholds with different stringent degrees, industry boundary, and alternative reinvestment mechanisms are unable to help pick out more profitable pair-trading portfolios. The distance filter and shorter trading-day setting are more reliable for pair trading. Finally, the deregulation on short selling results in more pair-trading activities, which obviously diminish the profitability of a pair-trading strategy.
URI: http://dx.doi.org/10.1016/j.iref.2017.07.021
http://hdl.handle.net/11536/144872
ISSN: 1059-0560
DOI: 10.1016/j.iref.2017.07.021
期刊: INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
Volume: 55
起始頁: 173
結束頁: 184
Appears in Collections:Articles