Are technical trading strategies still profitable? Evidence from the Taiwan Stock Index Futures Market
โ Scribed by Chiang, Yi-Chein; Ke, Mei-Chu; Liao, Tung Liang; Wang, Cin-Dian
- Book ID
- 127236093
- Publisher
- Taylor and Francis Group
- Year
- 2012
- Tongue
- English
- Weight
- 249 KB
- Volume
- 22
- Category
- Article
- ISSN
- 0960-3107
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## Abstract This study examines commonality in trading activity by various types of institutional investors across futures and stock markets, and the dynamic relationship between the common factors in trading activity and the futuresโcash basis. The empirical results provide evidence of commonality
## Abstract This study examines the impact of execution delay on the profitability of putโcallโfutures quasiโarbitrage 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 compo