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題名:Pairs Trading in the Taiwan, Hong Kong, and China Stock Markets before and after Short-Selling Deregulation
書刊名:Corporate Management Review
作者:王佳真
作者(外文):Wang, Jai-jen
出版日期:2020
卷期:40:1
頁次:頁35-75
主題關鍵詞:配對交易賣空禁令的解除誤差距離指標纏繞次數指標投資紀律Pair tradingShort-selling deregulationDistance filterFrequency filterInvestor discipline
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:1
  • 點閱點閱:5
期刊論文
1.Gatev, Evan G.、Goetzmann, William N.、Rouwenhorst, K. Geert(2006)。Pairs Trading: Performance of a Relative-Value Arbitrage Rule。The Review of Financial Studies,19(3),797-827。  new window
2.Diether, Karl B.、Lee, Kuan-Hui、Werner, Ingrid M.(2009)。Short-Sale Strategies and Return Predictability。Review of Financial Studies,22(2),575-607。  new window
3.Beber, A.、Pagano, M.(2013)。Short-Selling Bans Around the World: Evidence from the 2007-09 Crisis。Journal of Finance,68(1),343-381。  new window
4.Saffi, P. A. C.、Sigurdsson, K.(2011)。Price efficiency and short selling。Review of Financial Studies,24(3),821-852。  new window
5.Han, Y.、Lesmond, D.(2011)。Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility。Review of Financial Studies,24(5),1590-1629。  new window
6.Locke, P. R.、Mann, S. C.(2005)。Professional Trader Discipline and Trade Disposition。Journal of Financial Economics,76(2),401-444。  new window
7.Jegadeesh, Narasimhan、Titman, Sheridan(1995)。Overreaction, delayed reaction and contrarian profits。The Review of Financial Studies,8(4),973-993。  new window
8.王明昌、鄭揚耀、周邦營(20160600)。Effects of Individual Margin Requirement and Risk Preference on Individual Margin Trading。交大管理學報,36(1),69-96。new window  延伸查詢new window
9.Do, Binh、Faff, Robert(2010)。Does simple pairs trading still work?。Financial Analysts Journal,66(4),83-95。  new window
10.Perlin, Marcelo S.(2009)。Evaluation of pairs-trading strategy at the Brazilian financial market。Journal of Derivatives and Hedge Funds,15(2),122-136。  new window
11.Frazzini, Andrea(2006)。The disposition effect and underreaction to news。Journal of Finance,61(4),2017-2046。  new window
12.Odean, Terrance(1998)。Are Investors Reluctant to Realize Their Losses?。The Journal of Finance,53(5),1775-1798。  new window
13.Shefrin, Hersh、Statman, Meir(1985)。The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence。The Journal of Finance,40(3),777-790。  new window
14.Asparouhova, E.、Bessembinder, H.、Kalcheva, I.(2010)。Liquidity biases in asset pricing tests。Journal of Financial Economics,96(2),215-237。  new window
15.林美珍、楊光理(20161200)。What Do Individual Traders of TAIEX Futures Learn from Their Trading Activities?。交大管理學報,36(2),31-64。new window  new window
16.Bolgün, K. E.、Kurun, E.、Serhat, G.(2012)。Adaptive pairs trading strategy performance in Turkish derivatives exchange with the companies listed on Istanbul stock exchange。Journal of Derivatives and Hedge Funds,18(2),113-126。  new window
17.Boehmer, E.、Jones, C. M.、Zhang, X.(2013)。Shackling short sellers: The 2008 shorting ban。Review of Financial Studies,26(6),1363-1400。  new window
18.Göncü, A.、Akyildirim, E.(2016)。Statistical arbitrage with pairs trading。International Review of Finance,16(2),307-319。  new window
19.Kim, J. H.、Ji, P. I.(2015)。Significance testing in empirical finance: A critical review and assessment。Journal of Empirical Finance,34,1-14。  new window
20.Jacobs, Heiko、Weber, Martin(2015)。On the determinants of pairs trading profitability。Journal of Financial Markets,23,75-97。  new window
21.Hu, L.、Yu, L.、Tang, L.(2016)。Pairs trading strategy research considering short selling and margin trading: A two-stage approach based on cointegration and distance methods。Chinese Journal of Management Science,24(4),1-9。  new window
22.Kolasinski, A. C.、Reed, A. V.、Thornock, J. R.(2013)。Can short restrictions actually increase the informativeness of short selling?。Financial Management,42(1),155-181。  new window
23.Krauss, Christopher(2017)。Statistical arbitrage pairs trading strategies: Review and outlook。Journal of Economic Surveys,31(2),513-545。  new window
24.Li, M. L.、Chui, C. M.、Li, C. Q.(2014)。Is pairs trading profitable on China AH-share markets?。Applied Economics Letters,21(16),1116-1121。  new window
25.Shao, C.、Fan, H.(2013)。The influence between the time parameters and the return of pairs trading。Economic Management Journal,2(5),183-188。  new window
26.Wang, C.、Lin, B.、Lin, Z.(2013)。Pairs trading research based on stock price distance。Journal of Beijing Institute of Technology,15(1),71-75。  new window
27.Wang, J.、Lee, J.、Zhao, Y.(2018)。Pair-trading profitability and short-selling restriction: Evidence from the Taiwan stock market。International Review of Economics & Finance,55(3),173-184。  new window
28.Zebedeea, A. A.、Kasch-Haroutounian, M.(2009)。A closer look at comovements among stock returns。Journal of Economics and Business,61(4),279-294。  new window
研究報告
1.Andrade, Sandro、Di Pietro, Vadim、Seasholes, Mark(2005)。Understanding the profitability of pairs trading。Berkeley:University of California。  new window
2.Gatev, E.、Goetzmann, W. N.、Rouwenhorst, K. G.(2003)。Pairs trading: Performance of a relative value arbitrage rule。Yale University。  new window
3.Hong, G.、Susmel, R.(2013)。Pairs-trading in the Asian ADR market: Returns and convergence。Sogang University and University of Houston。  new window
4.Papadakis, George、Wysocki, Peter(2007)。Pairs trading and accounting information。Boston University School of Management。  new window
圖書
1.Learner, Edward E.(1978)。Specification Searches: Ad Hoc Inference with Nonexperimental Data。New York:John Wiley and Sons。  new window
其他
1.Basel Committee on Banking Supervision(2010)。Basel III: A global regulatory framework for more resilient banks and banking systems,https://www.bis.org/publ/bcbs189.pdf。  new window
2.Basel Committee on Banking Supervision(2013)。Basel III: The liquidity coverage ratio and liquidity risk monitoring tools,https://www.bis.org/publ/bcbs238.pdf。  new window
3.Basel Committee on Banking Supervision(2011)。Assessment of the macroeconomic impact of higher loss absorbency for global systemically important banks,https://www.bis.org/publ/bcbs202.htm。  new window
 
 
 
 
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