Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Wang, Jai-Jen | en_US |
dc.contributor.author | Lee, Jin-Ping | en_US |
dc.contributor.author | Zhao, Yang | en_US |
dc.date.accessioned | 2018-08-21T05:53:34Z | - |
dc.date.available | 2018-08-21T05:53:34Z | - |
dc.date.issued | 2018-05-01 | en_US |
dc.identifier.issn | 1059-0560 | en_US |
dc.identifier.uri | http://dx.doi.org/10.1016/j.iref.2017.07.021 | en_US |
dc.identifier.uri | http://hdl.handle.net/11536/144872 | - |
dc.description.abstract | 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. | en_US |
dc.language.iso | en_US | en_US |
dc.subject | Pair trading | en_US |
dc.subject | FTSE TWSE Taiwan 50 index | en_US |
dc.subject | Distance filter | en_US |
dc.subject | Frequency filter | en_US |
dc.subject | Short-selling restriction | en_US |
dc.title | Pair-trading profitability and short-selling restriction: Evidence from the Taiwan stock market | en_US |
dc.type | Article | en_US |
dc.identifier.doi | 10.1016/j.iref.2017.07.021 | en_US |
dc.identifier.journal | INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | en_US |
dc.citation.volume | 55 | en_US |
dc.citation.spage | 173 | en_US |
dc.citation.epage | 184 | en_US |
dc.contributor.department | 資訊管理與財務金融系 註:原資管所+財金所 | zh_TW |
dc.contributor.department | Department of Information Management and Finance | en_US |
dc.identifier.wosnumber | WOS:000430520000012 | en_US |
Appears in Collections: | Articles |